integer; single number or vector of size length(u1);
second parameter for the t-Copula; default is par2 = 0, should be an
positive integer for the Students's t copula family = 2.
deriv
Derivative argument "par" = second derivative with respect to
the first parameter (default) "par2" = second derivative with respect to
the second parameter (only available for the t-copula) "u1" = second derivative with respect to
the first argument u1 "u2" = second derivative with respect to
the second argument u2 "par1par2" = second derivative with respect to
the first and second parameter (only available for the t-copula)
"par1u1" = second derivative with respect to
the first parameter and the first argument "par2u1" = second derivative with respect to the
second parameter and the first argument (only available for the t-copula) "par1u2" = second derivative with respect to
the first parameter and the second argument "par2u2" = second derivative with respect to
the second parameter and the second argument
(only available for the t-copula)
obj
BiCop object containing the family and parameter
specification.
check.pars
logical; default is TRUE; if FALSE, checks
for family/parameter-consistency are ommited (should only be used with
care).
Details
If the family and parameter specification is stored in a BiCop
object obj, the alternative version
BiCopDeriv2(u1, u2, obj, deriv = "par")
can be used.
Value
A numeric vector of the second-order bivariate copula derivative
## simulate from a bivariate Student-t copula
set.seed(123)
cop <- BiCop(family = 2, par = -0.7, par2 = 4)
simdata <- BiCopSim(100, cop)
## second derivative of the Student-t copula w.r.t. the first parameter
u1 <- simdata[,1]
u2 <- simdata[,2]
BiCopDeriv2(u1, u2, cop, deriv = "par")
## estimate a Student-t copula for the simulated data
cop <- BiCopEst(u1, u2, family = 2)
## and evaluate its second derivative w.r.t. the second argument u2
BiCopDeriv2(u1, u2, cop, deriv = "u2")