evCopula {copula} | R Documentation |
Constructs an extreme-value copula class object with its corresponding parameter.
evCopula(family, param, dim = 2, ...) galambosCopula(param) huslerReissCopula(param) tawnCopula(param) tevCopula(param, df = 4, df.fixed = FALSE)
family |
a character string specifying the family of an extreme-value copula. |
param |
a numeric vector specifying the parameter values. |
dim |
the dimension of the copula. |
df |
a numerical value specifying the number of degrees of freedom the t extreme-value copula. |
df.fixed |
TRUE means that the degrees of freedom will never be
considered as a parameter to be estimated; FALSE means that
|
... |
currently nothing. |
An object of class "gumbelCopula"
,
"galambosCopula"
,
"huslerReissCopula"
,
"tawnCopula"
, or "tevCopula"
.
The Gumbel copula is both an Archimedean and an extreme-value copula.
ellipCopula
, archmCopula
,
gofEVCopula
, An
.
## Notice that, for a given degree of dependence, ## these copulas are strikingly similar. tau <- 0.33 gumbel.cop <- evCopula("gumbel") stopifnot(identical(gumbel.cop, gumbelCopula())) gumbel.cop@parameters <- iTau(gumbel.cop, tau) galambos.cop <- galambosCopula() galambos.cop@parameters <- iTau(galambos.cop, tau) huslerReiss.cop <- huslerReissCopula() huslerReiss.cop@parameters <- iTau(huslerReiss.cop, tau) tawn.cop <- tawnCopula() tawn.cop@parameters <- iTau(tawn.cop, tau) tev.cop <- tevCopula() tev.cop@parameters[1] <- iTau(tev.cop, tau) curve(A(gumbel.cop, x), 0, 1, main = "A(x) for five Extreme Value cop. w/ tau = 1/3") curve(A(galambos.cop, x), lty=2, add=TRUE) curve(A(huslerReiss.cop, x), lty=3, add=TRUE) curve(A(tawn.cop, x), lty=4, add=TRUE) curve(A(tev.cop, x), lty=5, add=TRUE) ## the t-EV-copula has always positive tau : curve(vapply(x, function(x) tau(tevCopula(x)), 0.), -1, 1, col=2, n=257, ylim=0:1, ylab=bquote(tau), xlab=bquote(rho), main= expression(tau( tevCopula(rho) )))