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\name{ExtremeValueModelling}
\alias{ExtremeValueModelling}
\alias{evCopulaSim}
\alias{evCopulaFit}
\title{Bivariate Extreme Value Copulae}
\description{
A collection and description of functions to investigate
bivariate extreme value copulae.
\cr
Extreme Value Copulae Functions:
\tabular{ll}{
\code{evCopulaSim} \tab simulates an extreme value copula, \cr
\code{evCopulaFit} \tab fits the parameters of an extreme value copula. }
}
\usage{
evCopulaSim(n, param = NULL, type = evList())
evCopulaFit(u, v = NULL, type = evList(), \dots)
}
\arguments{
\item{n}{
[revCopula][evCopulaSim] - \cr
the number of random deviates to be generated, an integer value.
}
\item{param}{
[*ev*][A*] - \cr
distribution and copulae parameters.
A numeric value or vector of named parameters as required by
the copula specified by the variable \code{type}.
If set to \code{NULL}, then the default parameters will be taken.
}
\item{type}{
[*ev*][Afunc] - \cr
the type of the extreme value copula. A character
string selected from: "gumbel", "galambos", "husler.reiss",
"tawn", or "bb5".
\cr
[evSlider] - \cr
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.
}
\item{u, v}{
[*evCopula][*archmCopula] - \cr
two numeric values or vectors of the same length at which
the copula will be computed. If \code{u} is a list then the
the \code{$x} and \code{$y} elements will be used as \code{u}
and \code{v}. If \code{u} is a two column matrix then the
first column will be used as \code{u} and the the second
as \code{v}.
}
\item{\dots}{
[evCopulaFit] - \cr
arguments passed to the optimization function \code{nlminb}.
}
}
\value{
The function \code{pcopula} returns a numeric matrix of probabilities
computed at grid positions \code{x}|\code{y}.
\cr
The function \code{parchmCopula} returns a numeric matrix with values
computed for the Archemedean copula.
\cr
The function \code{darchmCopula} returns a numeric matrix with values
computed for thedensity of the Archemedean copula.
\cr
The functions \code{Phi*} return a numeric vector with the values
computed from the Archemedean generator, its derivatives, or its
inverse.
\cr
The functions \code{cK} and {cKInv} return a numeric vector with the
values of the density and inverse for Archimedian copulae.
}
\author{
Diethelm Wuertz for the Rmetrics \R-port.
}
\examples{
## 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()
}
\keyword{models}
|
