joint.curvesCOP2 {copBasic} | R Documentation |
Compute Coordinates of the Marginal Probabilities given joint AND or OR Probability
Description
Compute the coordinates of the bivariate marginal probabilities for variables U
and V
given selected probabilities levels t
for a copula \mathbf{C}(u,v)
for u
with respect to v
. For the case of a joint and probability, symbolically the solution is
\mathrm{Pr}[U \le v,\ V \le v] = t = \mathbf{C}(u,v)\mbox{,}
where V \mapsto [t_i, t_{j}, t_{j+1}, \cdots, 1; \Delta]
(an irregular sequence of v
values from the i
th value of t_i
provided through to unity) and thus
t_i \mapsto \mathbf{C}(u, v=V)\mbox{,}
and solving for the sequence of u
. The index j
is to indicate that a separate loop is involved and is distinct from i
. The pairings \{u(t_i), v(t_i)\}
for each t
are packaged as an R data.frame
. This operation is very similiar to the plotting capabilities in level.curvesCOP2
for level curves (Nelsen, 2006, pp. 12–13) but implemented in the function joint.curvesCOP2
for alternative utility.
For the case of a joint or probability, the dual of a copula (function) or \tilde{\mathbf{C}}(u,v)
from a copula (Nelsen, 2006, pp. 33–34) is used and symbolically the solution is:
\mathrm{Pr}[U \le v \mathrm{\ or\ } V \le v] = t = \tilde{\mathbf{C}}(u,v) = u + v - \mathbf{C}(u,v)\mbox{,}
where V \mapsto [0, v_j, v_{j+1}, \cdots, t_i; \Delta]
(an irregular sequence of v
values from zero through to the i
th value of t
) and thus
t_i \mapsto \tilde{\mathbf{C}}(u, v=V)\mbox{,}
and solving for the sequence of u
. The index j
is to indicate that a separate loop is involved and is distinct from i
. The pairings \{u(t_i), v(t_i)\}
for each t
are packaged as an R data.frame
.
Usage
joint.curvesCOP2(cop=NULL, para=NULL, type=c("and", "or"),
probs=c(0.5, 0.8, 0.90, 0.96, 0.98, 0.99, 0.995, 0.998),
zero2small=TRUE, small=1E-6, divisor=100, delv=0.001, ...)
Arguments
cop |
A copula function; |
para |
Vector of parameters or other data structure, if needed, to pass to the copula; |
type |
What type of joint probability is to be computed; |
probs |
The joint probabilities for which to compute the coordinates. The default values represent especially useful annual return period equivalents that are useful in hydrologic risk analyses; |
zero2small |
A logical controlling whether precise zero value for probability are converted to a |
small |
The value for small described for |
divisor |
A divisor on a computation of a |
delv |
A |
... |
Additional arguments to pass to the |
Value
An R list
is returned with elements each of the given probs
.
Author(s)
W.H. Asquith
References
Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.
See Also
diagCOPatf
, duCOP
, jointCOP
, joint.curvesCOP
, level.curvesCOP2
Examples
# See Note for joint.curvesCOP()
## Not run:
# Approach the joint curves from both "with respect two" perspectives---results same.
JCvwrtu <- joint.curvesCOP( cop=PSP, prob=0.98)$"0.98"
JCuwrtv <- joint.curvesCOP2(cop=PSP, prob=0.98)$"0.98"; lim <- c(2,5)
plot(qnorm(JCvwrtu$U), qnorm(JCvwrtu$V), type="l", lwd=6, col=8, xlim=lim, ylim=lim,
xlab="STANDARD NORMAL VARIATE OF U", ylab="STANDARD NORMAL VARIATE OF V")
lines(qnorm(JCuwrtv$U), qnorm(JCuwrtv$V), col=2, lwd=2)
mtext("98th Joint Percentile Level Curve for PSP Copula")#
## End(Not run)