PSP {copBasic} | R Documentation |
The Ratio of the Product Copula to Summation minus Product Copula
Description
Compute PSP copula (Nelsen, 2006, p. 23) is named by the author (Asquith) for the copBasic package and is
where is the indpendence or product copula (
P
) and is the sum
. The
copula is a special case of the
copula (
N4212cop
). The is included in copBasic because of its simplicity and for pedagogical purposes. The name “PSP” comes from “Product, Summation, Product” to loosely reflect the mathematical formula shown. Nelsen (2006, p. 114) notes that the PSP copula shows up in several families and designates it as “
.” The PSP is undefined for
but no internal trapping is made; calling functions will have to intercept the
NaN
so produced for . The
is left internally untrapping
NaN
so as to be available to stress other copula utility functions within the copBasic package.
Usage
PSP(u, v, ...)
Arguments
u |
Nonexceedance probability |
v |
Nonexceedance probability |
... |
Additional arguments to pass, which for this copula are not needed, but given here to support flexible implementation. |
Value
Value(s) for the copula are returned.
Author(s)
W.H. Asquith
References
Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.
See Also
Examples
PSP(0.4,0.6)
PSP(0,0)
PSP(1,1)