ExtremeValueModelling        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:

       'evCopulaSim'  simulates an extreme value copula,
       'evCopulaFit'  fits the parameters of an extreme value copula.

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

     evCopulaSim(n, param = NULL,  type = evList())
     evCopulaFit(u, v = NULL, type = evList(), ...)

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

       n: [revCopula][evCopulaSim] - 
                    the number of random deviates to be generated, an
          integer value. 

   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. 

    u, v: [*evCopula][*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'. 

     ...: [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() 

