vCopula {cort}R Documentation

Copula volume on hyper-boxes

Description

u must be piecewise smaller than v, otherwise the function will return an error.

Usage

vCopula(u, v, copula, ...)

## S4 method for signature 'matrix,matrix'
vCopula(u, v, copula)

Arguments

u

numeric matrix : minimum point of the hyper-rectangles, one row per observation.

v

numeric matrix : maximum point of the hyper-rectangle, one row per observation.

copula

the copula that we compute the measure on the box (u,v)

...

other parameter to be passed to methods for this generic.

Details

A method is currently implemented for the main virtual class 'Copula', but it assumes that a pCopula method is avaliable for the given copula. This method could be used with Copulas that are not from this package, assuming that pCopula(u,cop) works.

This function computes the measure of the copula according to the algorithm proposed by Cherubini U, Romagnoli S (2009-oct).

Value

the measure of the copula.

References

Cherubini U, Romagnoli S (2009-oct). “Computing the Volume of n -Dimensional Copulas.” Applied Mathematical Finance, 16, 307–314.

Examples

cop <- cbCopula(LifeCycleSavings,m = 5)
vCopula(rep(0,5),rep(1,5),cop) == 1
vCopula(rep(0,5),rep(0.5,5),cop)


[Package cort version 0.3.2 Index]