EmpiricalCopulae {fCopulae} | R Documentation |
Bivariate Empirical Copulae
Description
A collection and description of functions to investigate
bivariate empirical copulae.
Empirical Copulae Functions:
pempiricalCopula | computes empirical copula probability, |
dempiricalCopula | computes empirical copula density. |
Usage
pempiricalCopula(u, v, N = 10)
dempiricalCopula(u, v, N = 10)
Arguments
N |
[empiricalCopula] - |
u , v |
[*evCopula][*archmCopula] - |
Value
Th functions *Spec
return an S4 object
of class "fCOPULA"
. The object contains the following slots:
@call |
the function call. |
@copula |
the name of the copula. |
@param |
a list whose elements specify the model parameters. |
@title |
a character string with the name of the copula. This can be overwritten specifying a user defined input argument. |
@description |
a character string with an optional user defined description. By default just the current date when the test was applied will be returned. |
The function pcopula
returns a numeric matrix of probabilities
computed at grid positions x
|y
.
The function parchmCopula
returns a numeric matrix with values
computed for the Archemedean copula.
The function darchmCopula
returns a numeric matrix with values
computed for thedensity of the Archemedean copula.
The functions Phi*
return a numeric vector with the values
computed from the Archemedean generator, its derivatives, or its
inverse.
The functions cK
and cKInv
return a numeric vector with the
values of the density and inverse for Archimedian copulae.
Author(s)
Diethelm Wuertz for the Rmetrics R-port.