copula: pnacopula – R documentation

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pnacopula

Evaluation of (Nested) Archimedean Copulas

Description

For a (nested) Archimedean copula (object of class nacopula) x, pCopula(u, x) (or also currently still pnacopula(x, u)) evaluates the copula x at the given vector or matrix u.

Usage

## S4 method for signature 'matrix,nacopula'
pCopula(u, copula, ...)

## *Deprecated*:
pnacopula(x, u)

Arguments

`copula, x`	(nested) Archimedean copula of dimension d, that is, an object of class `nacopula`, typically from `onacopula(..)`.
`u`	a `numeric` vector of length d or matrix with d columns.
`...`	unused: potential optional arguments passed from and to methods.

Details

The value of an Archimedean copula C with generator psi at u is given by

C(u) = psi(psi^{-1}(u_1)+...+psi^{-1}(u_d)), u in [0,1]^d.

The value of a nested Archimedean copula is defined similarly. Note that a d-dimensional copula is called nested Archimedean if it is an Archimedean copula with arguments possibly replaced by other nested Archimedean copulas.

Value

A numeric in [0,1] which is the copula evaluated at u. (Currently not parallelized.)

Note

pCopula(u, copula) is a generic function with methods for all our copula classes, see pCopula.

Examples

## Construct a three-dimensional nested Joe copula with parameters
## chosen such that the Kendall's tau of the respective bivariate margins
## are 0.2 and 0.5.
theta0 <- copJoe@iTau(.2)
theta1 <- copJoe@iTau(.5)
C3 <- onacopula("J", C(theta0, 1, C(theta1, c(2,3))))

## Evaluate this copula at the vector u
u <- c(.7,.8,.6)
pCopula(u, C3)

## Evaluate this copula at the matrix v
v <- matrix(runif(300), ncol=3)
pCopula(v, C3)

## Back-compatibility check
stopifnot(identical( pCopula (u, C3), suppressWarnings(
                    pnacopula(C3, u))),
          identical( pCopula (v, C3), suppressWarnings(
                    pnacopula(C3, v))))

copula

Multivariate Dependence with Copulas

v1.0-1

GPL (>= 3) | file LICENCE

Authors

Marius Hofert [aut] (<https://orcid.org/0000-0001-8009-4665>), Ivan Kojadinovic [aut] (<https://orcid.org/0000-0002-2903-1543>), Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Jun Yan [aut] (<https://orcid.org/0000-0003-4401-7296>), Johanna G. Nešlehová [ctb] (evTestK(), <https://orcid.org/0000-0001-9634-4796>), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)

Initial release

2020-12-07