HRcop {copBasic} | R Documentation |
The Hüsler–Reiss Extreme Value Copula
Description
The Hüsler–Reiss copula (Joe, 2014, p. 176) is
where ,
,
,
is the cumulative distribution function of the standard normal distribution,
and
are defined as:
As , the copula limits to independence (
;
P
). The copula here is a bivariate extreme value copula (), and the parameter
requires numerical methods.
Usage
HRcop(u, v, para=NULL, ...)
Arguments
u |
Nonexceedance probability |
v |
Nonexceedance probability |
para |
A vector (single element) of parameters—the |
... |
Additional arguments to pass. |
Value
Value(s) for the copula are returned.
Author(s)
W.H. Asquith
References
Joe, H., 2014, Dependence modeling with copulas: Boca Raton, CRC Press, 462 p.
See Also
Examples
# Parameter Theta = pi recovery through the Blomqvist Beta (Joe, 2014, p. 176)
qnorm(1 - log( 1 + blomCOP(cop=HRcop, para=pi) ) / ( 2 * log(2) ) )^(-1)
[Package copBasic version 2.2.4 Index]