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The composition of a single copula (Salvadori et al., 2006, p. 266, prop. C.3) is created by the following result related to “composition of copulas” in that reference. This construction technique is named the Khoudraji device within the copula package (see khoudrajiCopula
therein) (Hofert et al., 2018, pp. 120--121). Suppose COP
) with parameters P
), then a family of generally asymmetric copulas
The composite1COP
function provides the means for inserting permutation asymmetry from a permutation symmetric copula as described by Joe (2017, p. 124), but do so in a more general way through the provision of two and not just one parameter. Joe's description is supported herein if one of the composite2COP
function is based on a slighty more general result (see composite2COP
for further details of copula composition and more contextualization of Hofert et al. (2018) remarks on the Khoudraji device).
composite1COP(u, v, para, ...)
khoudraji1COP(u, v, para, ...)
khoudrajiPCOP(u, v, para, ...)
Value(s) for the composited copula are returned.
Nonexceedance probability
Nonexceedance probability
A special parameter list
(see Note); and
Additional arguments to pass to the copula.
W.H. Asquith
Hofert, M., Kojadinovic, I., Mächler, M., and Yan, J., 2018, Elements of copula modeling with R: Dordrecht, Netherlands, Springer.
Joe, H., 2017, Parametric copula families for statistical models (chap. 8) in Copulas and dependence models with applications---Contributions in honor of Roger B. Nelsen, eds. Flores, U.M., Amo Artero, E., Durante, F., Sánchez, J.F.: Springer, Cham, Switzerland, ISBN 978--3--319--64220--9, tools:::Rd_expr_doi("10.1007/978-3-319-64221-5").
Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature---An approach using copulas: Springer, 289 p.
COP
, breveCOP
, composite2COP
, composite3COP
,
convexCOP
, glueCOP