The convex composition of \(N\) number of copulas (Salvadori et al., p. 132, 2007) provides for complexity extension between coupla families. Let \(\mathbf{C}_{i}\) be a copula with respective vector of parameters \(\Theta_i\), then the convex combination of these copulas is
$$\mathbf{C}^{\times}_{\omega}(u,v) = \sum_{i=1}^N \omega_i \mathbf{C}_{i}(u, v; \Theta_i)\mbox{,}$$
where \(\sum_{i=1}^N \omega_i = 1\) for \(N\) number of copulas. The weights \(\omega\) are silently treated as \(1/N\) if the weights element is absent in the R list argument para.
convexCOP(u,v, para, ...)Value(s) for the convex combination copula is returned.
Nonexceedance probability \(u\) in the \(X\) direction;
Nonexceedance probability \(v\) in the \(Y\) direction;
A special parameter list (see Note); and
Additional arguments to pass to the copula.
W.H. Asquith
Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature---An approach using copulas: Springer, 289 p.
COP, breveCOP, convex2COP, composite1COP, composite2COP, composite3COP, glueCOP