ExtremeValueDependency       package:fCopulae       R Documentation

_B_i_v_a_r_i_a_t_e _E_x_t_r_e_m_e _V_a_l_u_e _C_o_p_u_l_a_e

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions to investigate 
     bivariate extreme value copulae.  

     Extreme Value Copulae Functions:

       'evTau'              Computes Kendall's tau for extreme value copulae,
       'evRho'              computes Spearman's rho for extreme value copulae,
       'evTailCoeff'        computes tail dependence for extreme value copulae,
       'evTailCoeffSlider'  plots tail dependence for extreme value copulae.

_U_s_a_g_e:

     evTau(param = NULL, type = evList(), alternative = FALSE)
     evRho(param = NULL, type = evList(), alternative = FALSE)
         
     evTailCoeff(param = NULL, type = evList())
     evTailCoeffSlider(B = 10)

_A_r_g_u_m_e_n_t_s:

alternative: [evRho][evTau][*evCopula] - 
           Should the probability be computed alternatively in a direct
          way from the probability formula or by default  via the
          dependency function?   

       B: [*Slider] - 
           the maximum slider menu value when the boundary value is 
          infinite. By default this is set to 10. 

   param: [*ev*][A*] - 
           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: [*ev*][Afunc] - 
           the type of the extreme value copula. A character string
          selected from: "gumbel", "galambos", "husler.reiss",  "tawn",
          or "bb5". 
           [evSlider] - 
           a character string specifying the plot type. Either a 
          perspective plot which is the default or a contour plot  with
          an underlying image plot will be created. 

     ...: [evCopulaFit] - 
           arguments passed to the optimization function 'nlminb'. 

_V_a_l_u_e:

     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.

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for the Rmetrics R-port.

_E_x_a_m_p_l_e_s:

     ## 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:
        # AfuncSlider() 

