ArchimedeanDependency {fCopulae} | R Documentation |
A collection and description of functions to
investigate bivariate Archimedean copulae.
Archimedean Copulae Functions:
archmTau | Computes Kendall's tau for Archimedean copulae, |
archmRho | computes Spearman's rho for Archimedean copulae, |
| computes tail dependence for Archimedean copulae, |
archmTailPlot | plots tail dependence for Archimedean copulae. |
archmTau(alpha = NULL, type = archmList(), lower = 1.0e-10) archmRho(alpha = NULL, type = archmList(), method = c("integrate2d", "adapt"), error = 1.0e-5) archmTailCoeff(alpha = NULL, type = archmList()) archmTailPlot(alpha = NULL, type = archmList(), tail = c("Upper", "Lower"))
alpha |
the parameter of the Archemedean copula. A numerical value. |
error |
[archmRho] - the error bound to be achieved by the integrate2d
integration formula. A numeric value, by default error=1.0e-5 .
|
lower |
[archmTau] - a numeric value setting the lower bound for the internal integration function integrate .
|
tail |
[archmTailPlot] - a character string, either "Upper" or "Lower" denoting
which of the two tails should be displayed. By default the upper
tail dependence will be considered.
|
type |
the type of the Archimedean copula. A character string ranging
beween "1" and "22" . By default copula No. 1 will
be chosen.
|
method |
[archmRho] - a character string that determines which integration method should be used, either "integrate2d" or "adapt" . If the second
method is selected the contributed R package "adapt" is
required.
|
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.