VineCopula (version 2.5.1)

BiCopPDF: Density of a Bivariate Copula

Description

This function evaluates the probability density function (PDF) of a given parametric bivariate copula.

Usage

BiCopPDF(u1, u2, family, par, par2 = 0, obj = NULL, check.pars = TRUE)

Value

A numeric vector of the bivariate copula density

• of the copula family

• with parameter(s) par, par2

• evaluated at u1 and u2.

Arguments

u1, u2

numeric vectors of equal length with values in \([0,1]\).

family

integer; single number or vector of size length(u1); defines the bivariate copula family:
0 = independence copula
1 = Gaussian copula
2 = Student t copula (t-copula)
3 = Clayton copula
4 = Gumbel copula
5 = Frank copula
6 = Joe copula
7 = BB1 copula
8 = BB6 copula
9 = BB7 copula
10 = BB8 copula
13 = rotated Clayton copula (180 degrees; survival Clayton'') \cr `14` = rotated Gumbel copula (180 degrees; survival Gumbel'')
16 = rotated Joe copula (180 degrees; survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; survival BB1'')
18 = rotated BB6 copula (180 degrees; survival BB6'')\cr `19` = rotated BB7 copula (180 degrees; survival BB7'')
20 = rotated BB8 copula (180 degrees; ``survival BB8'')
23 = rotated Clayton copula (90 degrees)
`24` = rotated Gumbel copula (90 degrees)
`26` = rotated Joe copula (90 degrees)
`27` = rotated BB1 copula (90 degrees)
`28` = rotated BB6 copula (90 degrees)
`29` = rotated BB7 copula (90 degrees)
`30` = rotated BB8 copula (90 degrees)
`33` = rotated Clayton copula (270 degrees)
`34` = rotated Gumbel copula (270 degrees)
`36` = rotated Joe copula (270 degrees)
`37` = rotated BB1 copula (270 degrees)
`38` = rotated BB6 copula (270 degrees)
`39` = rotated BB7 copula (270 degrees)
`40` = rotated BB8 copula (270 degrees)
`104` = Tawn type 1 copula
`114` = rotated Tawn type 1 copula (180 degrees)
`124` = rotated Tawn type 1 copula (90 degrees)
`134` = rotated Tawn type 1 copula (270 degrees)
`204` = Tawn type 2 copula
`214` = rotated Tawn type 2 copula (180 degrees)
`224` = rotated Tawn type 2 copula (90 degrees)
`234` = rotated Tawn type 2 copula (270 degrees)

par

numeric; single number or vector of size length(u1); copula parameter.

par2

numeric; single number or vector of size length(u1); second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: par2 = 0). par2 should be an positive integer for the Students's t copula family = 2.

obj

BiCop object containing the family and parameter specification.

check.pars

logical; default is TRUE; if FALSE, checks for family/parameter-consistency are omitted (should only be used with care).

Author

Eike Brechmann

Details

If the family and parameter specification is stored in a BiCop() object obj, the alternative version

BiCopPDF(u1, u2, obj)

can be used.

See Also

BiCopCDF(), BiCopHfunc(), BiCopSim(), BiCop()

Examples

set.seed(123)
## simulate from a bivariate Student-t copula
cop <- BiCop(family = 2, par = -0.7, par2 = 4)
simdata <- BiCopSim(100, cop)

## evaluate the density of the bivariate t-copula
u1 <- simdata[,1]
u2 <- simdata[,2]
BiCopPDF(u1, u2, cop)

## select a bivariate copula for the simulated data
fit <- BiCopSelect(u1, u2)
summary(fit)
## and evaluate its PDF
round(BiCopPDF(u1, u2, fit), 3)