hbvevdliouv
(Package: lcopula) :
Bivariate spectral density of the CDA of survival copula and copula of Liouville vectors
Computes the Liouville EV model or the scaled Dirichlet EV model spectral density
● Data Source:
CranContrib
● Keywords:
● Alias: hbvevdliouv
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express_coef_gumb
(Package: lcopula) :
Gumbel coefficient for Kendall's tau formula
The function is used internally in liouv.Tau.
● Data Source:
CranContrib
● Keywords: internal
● Alias: express_coef_gumb
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theta.bci
(Package: lcopula) :
Parametric bootstrap confidence interval for the parameter code{theta
The parametric bootstrap provides confidence intervals by repeatedly sampling datasets from the postulated Liouvilla copula model. If d=2 and the model is either gumbel or clayton, the value of Kendall's tau is calculated from the sample, and the confidence interval or the quantiles correspond to the inverse tau for the bootstrap quantile values of tau (using monotonicity).
● Data Source:
CranContrib
● Keywords:
● Alias: theta.bci
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liouv.iTau
(Package: lcopula) :
Moment estimate for theta derived from Kendall's tau formula
The moment estimates are based on inversion of the formula Kendall's tau for Clayton or Gumbel Liouville copula
● Data Source:
CranContrib
● Keywords:
● Alias: liouv.iTau
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pliouv.opt
(Package: lcopula) :
Internal code for the copula likelihood function for Liouville copulas
The function is used internally for optimization.
● Data Source:
CranContrib
● Keywords:
● Alias: pliouv.opt
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lcopula provides functions to evaluate and sample Liouville copulas. The code adapted from GumbelLiouville.R used in Genest and Neslehova (2013) and from the routine LiouvilleFunction.R used by McNeil and Neslehova (2010) and coded by Alexander McNeil. New implementation draws heavily on functions implemented in the copula package and derived from work by Hofert, Machler and McNeil (2012).
● Data Source:
CranContrib
● Keywords: copula
● Alias: lcopula, lcopula-package
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rarchi
(Package: lcopula) :
Archimedean copula sampler
Sampler based on the Marshall-Olkin algorithm
● Data Source:
CranContrib
● Keywords:
● Alias: rarchi
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pickands.liouv
(Package: lcopula) :
Pickands dependence function for the copula domain of attraction of Liouville survival copulas
Pickands dependence function as in Belzile (2014), Proposition 40 and Example 4 and Belzile (2014), Proposition 41, assuming that the parameter alpha is integer-valued. Returns the Pickands dependence function of the copula domain of attraction (CDA) of the survival copula, the scaled Dirichlet extreme value model, or the CDA of the copula, the Liouville EV model.
● Data Source:
CranContrib
● Keywords:
● Alias: pickands.liouv
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isliouvm_m
(Package: lcopula) :
Multiple marginal inverse survival function for Liouville copulas
Multiple marginal inverse survival function for Liouville copulas
● Data Source:
CranContrib
● Keywords:
● Alias: isliouvm_m
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pliouvm
(Package: lcopula) :
Marginal distribution function for Liouville copula
Calls sliouvm to return cdf
● Data Source:
CranContrib
● Keywords:
● Alias: pliouvm
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