copula: dDiag – R documentation

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dDiag

Density of the Diagonal of (Nested) Archimedean Copulas

Description

Evaluate the density of the diagonal of a d-dimensional (nested) Archimedean copula. Note that the diagonal of a copula is a cumulative distribution function. Currently, only Archimedean copulas are implemented.

Usage

dDiag(u, cop, log=FALSE)

Arguments

`u`	a numeric vector of evaluation points.
`cop`	a (nested) Archimedean copula object of class `"outer_nacopula"`. This also determines the dimension via the `comp` slot
`log`	logical indicating if the `log` of the density of the diagonal should be returned instead of just the diagonal density.

Value

A numeric vector containing the values of the density of the diagonal of the Archimedean copula at u.

References

Hofert, M., Mächler, M., and McNeil, A. J. (2013). Archimedean Copulas in High Dimensions: Estimators and Numerical Challenges Motivated by Financial Applications. Journal de la Société Française de Statistique 154(1), 25–63.

Examples

th. <- c(0.1, 0.2, 0.5, 0.8, 1.4, 2., 5.)
curve(dDiag(x, cop=onacopulaL("Clayton", list(th.[1], 1:3))), 0, 1,
      n=1000, ylab="dDiag(x, *)", main="Diagonal densities of Clayton")
abline(h=0, lty=3)
for(j in 2:length(th.))
  curve(dDiag(x, cop=onacopulaL("Clayton", list(th.[j], 1:3))), add=TRUE,
	     col=j, n=1000)
legend("topleft", do.call(expression, lapply(th., function(th)
                                 substitute(theta == TH, list(TH=th)))),
       lty = 1, col=seq_along(th.), bty="n")

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