ExtremeValueGenerator {fCopulae}

Bivariate Extreme Value Copulae

Description

A collection and description of functions concerned with the generator function for the extreme value copula and with functions for setting and checking the distributional parameters.

Functions:

evList	Returns list of implemented extreme value copulae,
evParam	sets default parameters for an extreme value copula,
evRange	returns the range of valid rho values,
evCheck	checks if rho is in the valid range,
Afunc	computes dependence function,
AfuncSlider	displays interactively dependence function.

Usage

evList()
evParam(type = evList())
evRange(type = evList())
evCheck(param, type = evList())

Afunc(x, param = NULL, type = evList())
AfuncSlider()

Arguments

param

distribution and copulae parameters. A numeric value or vector of named parameters as required by the copula specified by the variable type. If set to NULL, then the default parameters will be taken.

type

the type of the extreme value copula. A character string selected from: "gumbel", "galambos", "husler.reiss", "tawn", or "bb5".

x

a numeric value or vector ranging between zero and one.

Value

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.

Examples

## fCOPULA -
   getClass("fCOPULA")
   getSlots("fCOPULA")
   
## revCopula -
   # Not yet implemented
   # revCopula(n = 10, type = "galambos")
   
## pevCopula -
   pevCopula(u = grid2d(), type = "galambos", output = "list")
   
## devCopula -
   devCopula(u = grid2d(), type = "galambos", output = "list")
   
## AfuncSlider -
   # Generator, try:
   ## Not run: AfuncSlider()