ArchimedeanModelling {fCopulae} | R Documentation |
A collection and description of functions to
investigate bivariate Archimedean copulae.
Archimedean Copulae Functions:
archmCopulaSim | simulates an Archimedean copula, |
archmCopulaFit | fits the parameters of an Archimedean copula. |
archmCopulaSim(n, alpha = NULL, type = archmList()) archmCopulaFit(u, v = NULL, type = archmList(), ...)
alpha |
[Phi*][*archmCopula] - the parameter of the Archemedean copula. A numerical value. |
n |
[rarchmCopula] - the number of random deviates to be generated, an integer value. |
type |
the type of the Archimedean copula. A character string ranging
beween "1" and "22" . By default copula No. 1 will
be chosen.
|
u, v |
[*archmCopula] - two numeric values or vectors of the same length at which the copula will be computed. If u is a list then the
the \$x and \$y elements will be used as u
and v . If u is a two column matrix then the
first column will be used as u and the the second
as v .
|
... |
[archmCopulaFit] - arguments passed to the optimization function in use, nlminb .
|
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.
Diethelm Wuertz for the Rmetrics R-port.