fhCopula {copula} | R Documentation |
Construction of Fréchet-Hoeffding Bound Copula Objects
Description
Constructs the Fréchet-Hoeffding lower and upper bound
copulas aka W
and M
.
Usage
fhCopula(family = c("upper", "lower"), dim = 2L)
lowfhCopula(dim = 2L)
upfhCopula(dim = 2L)
Arguments
family |
a character string specifying the Fréchet-Hoeffding bound copula. |
dim |
the dimension of the copula; note that the lower Fréchet-Hoeffding bound is only available in the bivariate case. |
Value
A copula object of class "lowfhCopula"
or "upfhCopula"
.
Note
fhCopula()
is a wrapper for lowfhCopula()
and
upfhCopula()
.
The dCopula()
method will simply return an error
for these copulas (as their density does not exist). Also,
since the Fréchet-Hoeffding bound copulas are not
parametric, certain methods available for parametric copulas are
not available.
Examples
## Lower bound W : -------------------------
try(W <- lowfhCopula(dim = 3)) # lower bound is *not* a copula for dim > 2
W <- lowfhCopula()
wireframe2(W, FUN = pCopula)
plot(W, n=100) # perfect anti-correlation ( rho = tau = -1 )
## Upper bound M : -------------------------
wireframe2(upfhCopula(dim = 2), pCopula)
M <- upfhCopula(dim = 3)
set.seed(271)
splom2(M, n = 100) # "random" data: all perfectly correlated
[Package copula version 1.1-3 Index]