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K

Kendall Distribution Function for Archimedean Copulas


Description

The Kendall distribution of an Archimedean copula is defined by

K(u) = P(C(U[1], U[2], …, U[d]) <= u),

where u in [0,1], and the d-dimensional (U[1],U[2],…,U[d]) is distributed according to the copula C. Note that the random variable C(U[1],U[2], …, U[d]) is known as “probability integral transform”. Its distribution function K is equal to the identity if d = 1, but is non-trivial for d >= 2.

Kn() computes the empirical Kendall distribution function, pK() the distribution function (so K() itself), qK() the quantile function, dK() the density, and rK() random number generation from K() for an Archimedean copula.

Usage

Kn(u, x, method = c("GR", "GNZ")) # empirical Kendall distribution function
dK(u, copula, d, n.MC = 0, log.p = FALSE) # density
pK(u, copula, d, n.MC = 0, log.p = FALSE) # df
qK(p, copula, d, n.MC = 0, log.p = FALSE, # quantile function
   method = c("default", "simple", "sort", "discrete", "monoH.FC"),
   u.grid, xtraChecks = FALSE, ...)
rK(n, copula, d) # random number generation

Arguments

u

evaluation point(s) (in [0,1]).

x

data (in the d-dimensional space) based on which the Kendall distribution function is estimated.

copula

acopula with specified parameter, or (currently for rK only) a outer_nacopula.

d

dimension (not used when copula is an outer_nacopula).

n.MC

integer, if positive, a Monte Carlo approach is applied with sample size equal to n.MC to evaluate the generator derivatives involved; otherwise (n.MC = 0) the exact formula is used based on the generator derivatives as found by Hofert et al. (2012).

log.p

logical; if TRUE, probabilities p are given as log(p).

p

probabilities or log-probabilities if log.p is true.

method

for qK(), character string for the method how to compute the quantile function of K; available are:

"default"

default method. Currently chooses method="monoH.FC" with u.grid = 0:128/128. This is fast but not too accurate (see example).

"simple"

straightforward root finding based on uniroot.

"sort"

root finding based on uniroot but first sorting u.

"discrete"

first, K is evaluated at the given grid points u.grid (which should contain 0 and 1). Based on these probabilities, quantiles are computed with findInterval.

"monoH.FC"

first, K is evaluated at the given grid points u.grid. A monotone spline is then used to approximate K. Based on this approximation, quantiles are computed with uniroot.

For Kn(), character string indicating the method according to which the empirical Kendall distribution is computed; available are:

"GR"

the default. Computed as in Genest and Rivest (1993, Equations (4) and (5)).

"GNZ"

computed as in Genest et al. (2011, Equation (19) and Lemma 1); this is guaranteed to satisfy that the estimator lies above the diagonal at any point in [0,1).

u.grid

(for method="discrete":) The grid on which K is evaluated, a numeric vector.

xtraChecks

experimental logical indicating if extra checks should be done before calling uniroot() in some cases.

...

additional arguments passed to uniroot (for method="default", method="simple", method="sort", and method="monoH.FC") or findInterval (for method="discrete"), notably tol (uniroot) for increased accuracy.

n

sample size for rK.

Details

For a completely monotone Archimedean generator psi,

K(u)=sum(k=0,...,d-1) psi^{(k)}(psi^{-1}(u))/k! (-psi^{-1}(u))^k, u in [0,1];

see Barbe et al. (1996). The corresponding density is

(-1)^d psi^{(d)}(psi^{-1}(u))(-(psi^{-1})'(u))(psi^{-1}(u))^{d-1}/(d-1)!

Value

The empirical Kendall distribution function, density, distribution function, quantile function and random number generator.

Note

Currently, the "default" method of qK() is fast but not very accurate, see the ‘Examples’ for more accuracy (with more CPU effort).

References

Barbe, P., Genest, C., Ghoudi, K., and Rémillard, B. (1996), On Kendall's Process, Journal of Multivariate Analysis 58, 197–229.

Hofert, M., Mächler, M., and McNeil, A. J. (2012). Likelihood inference for Archimedean copulas in high dimensions under known margins. Journal of Multivariate Analysis 110, 133–150. doi: 10.1016/j.jmva.2012.02.019

Genest, C. and Rivest, L.-P. (1993). Statistical inference procedures for bivariate Archimedean copulas. Journal of the American Statistical Association 88, 1034–1043.

Genest, C., G. Nešlehová, J., and Ziegel, J. (2011). Inference in multivariate Archimedean copula models. TEST 20, 223–256.

See Also

htrafo or emde (where K is used); splinefun(*, "monoHC") for that method.

Examples

tau <- 0.5
(theta <- copGumbel@iTau(tau)) # 2
d <- 20
(cop <- onacopulaL("Gumbel", list(theta,1:d)))

## Basic check of the empirical Kendall distribution function
set.seed(271)
n <- 1000
U <- rCopula(n, copula = cop)
X <- qnorm(U)
K.sample <- pCopula(U, copula = cop)
u <- seq(0, 1, length.out = 256)
edfK <- ecdf(K.sample)
plot(u, edfK(u), type = "l", ylim = 0:1,
     xlab = quote(italic(u)), ylab = quote(K[n](italic(u)))) # simulated
K.n <- Kn(u, x = X)
lines(u, K.n, col = "royalblue3") # Kn
## Difference at 0
edfK(0) # edf of K at 0
K.n[1] # K_n(0); this is > 0 since K.n is the edf of a discrete distribution
## => therefore, Kn(K.sample, x = X) is not uniform
plot(Kn(K.sample, x = X), ylim = 0:1)
## Note: Kn(0) -> 0 for n -> Inf

## Compute Kendall distribution function
u <- seq(0,1, length.out = 255)
Ku    <- pK(u, copula = cop@copula, d = d) # exact
Ku.MC <- pK(u, copula = cop@copula, d = d, n.MC = 1000) # via Monte Carlo
stopifnot(all.equal(log(Ku),
		    pK(u, copula = cop@copula, d = d, log.p=TRUE)))# rel.err 3.2e-16

## Build sample from K
set.seed(1)
n <- 200
W <- rK(n, copula = cop)

## Plot empirical distribution function based on W
## and the corresponding theoretical Kendall distribution function
## (exact and via Monte Carlo)
plot(ecdf(W), col = "blue", xlim = 0:1, verticals=TRUE,
     main = quote("Empirical"~ F[n](C(U)) ~
                     "and its Kendall distribution" ~ K(u)),
     do.points = FALSE, asp = 1)
abline(0,1, lty = 2); abline(h = 0:1, v = 0:1, lty = 3, col = "gray")
lines(u, Ku.MC, col = "red") # not quite monotone
lines(u, Ku, col = "black")  # strictly  monotone:
stopifnot(diff(Ku) >= 0)
legend(.25, .75, expression(F[n], K[MC](u), K(u)),
       col=c("blue" , "red", "black"), lty = 1, lwd = 1.5, bty = "n")

if(require("Rmpfr")) { # pK() now also works with high precision numbers:
 uM <- mpfr(0:255, 99)/256
 if(FALSE) {
   # not yet, now fails in  polyG() :
   KuM <- pK(uM, copula = cop@copula, d = d)
  ##  debug(copula:::.pK)
  debug(copula:::polyG)
 }
}# if( Rmpfr )


## Testing qK
pexpr <- quote( 0:63/63 );  p <- eval(pexpr)
d <- 10
cop <- onacopulaL("Gumbel", list(theta = 2, 1:d))
system.time(qK0 <- qK(p, copula = cop@copula, d = d)) # "default" - fast


system.time(qK1  <- qK(p, copula= cop@copula, d=d, method = "simple"))
system.time(qK1. <- qK(p, copula= cop@copula, d=d, method = "simple", tol = 1e-12))
system.time(qK2  <- qK(p, copula= cop@copula, d=d, method = "sort"))
system.time(qK2. <- qK(p, copula= cop@copula, d=d, method = "sort",   tol = 1e-12))
system.time(qK3  <- qK(p, copula= cop@copula, d=d, method = "discrete", u.grid = 0:1e4/1e4))
system.time(qK4  <- qK(p, copula= cop@copula, d=d, method = "monoH.FC",
                       u.grid = 0:5e2/5e2))
system.time(qK4. <- qK(p, copula= cop@copula, d=d, method = "monoH.FC",
                       u.grid = 0:5e2/5e2, tol = 1e-12))
system.time(qK5  <- qK(p, copula= cop@copula, d=d, method = "monoH.FC",
                       u.grid = 0:5e3/5e3))
system.time(qK5. <- qK(p, copula= cop@copula, d=d, method = "monoH.FC",
                       u.grid = 0:5e3/5e3, tol = 1e-12))
system.time(qK6  <- qK(p, copula= cop@copula, d=d, method = "monoH.FC",
                       u.grid = (0:5e3/5e3)^2))
system.time(qK6. <- qK(p, copula= cop@copula, d=d, method = "monoH.FC",
                       u.grid = (0:5e3/5e3)^2, tol = 1e-12))

## Visually they all coincide :
cols <- adjustcolor(c("gray50", "gray80", "light blue",
                      "royal blue", "purple3", "purple4", "purple"), 0.6)
matplot(p, cbind(qK0, qK1, qK2, qK3, qK4, qK5, qK6), type = "l", lwd = 2*7:1, lty = 1:7, col = cols,
        xlab = bquote(p == .(pexpr)), ylab = quote({K^{-1}}(u)),
        main = "qK(p, method = *)")
legend("topleft", col = cols, lwd = 2*7:1, lty = 1:7, bty = "n", inset = .03,
       legend= paste0("method= ",
             sQuote(c("default", "simple", "sort",
                      "discrete(1e4)", "monoH.FC(500)", "monoH.FC(5e3)", "monoH.FC(*^2)"))))

## See they *are* inverses  (but only approximately!):
eqInv <- function(qK) all.equal(p, pK(qK, cop@copula, d=d), tol=0)

eqInv(qK0 ) # "default"	       0.03  worst
eqInv(qK1 ) # "simple"	       0.0011 - best
eqInv(qK1.) # "simple", e-12   0.00000 (8.73 e-13) !
eqInv(qK2 ) # "sort"	       0.0013 (close)
eqInv(qK2.) # "sort", e-12     0.00000 (7.32 e-12)
eqInv(qK3 ) # "discrete"       0.0026
eqInv(qK4 ) # "monoH.FC(500)"  0.0095
eqInv(qK4.) # "m.H.FC(5c)e-12" 0.00963
eqInv(qK5 ) # "monoH.FC(5e3)"  0.001148
eqInv(qK5.) # "m.H.FC(5k)e-12" 0.000989
eqInv(qK6 ) # "monoH.FC(*^2)"  0.001111
eqInv(qK6.) # "m.H.FC(*^2)e-12"0.00000 (1.190 e-09)

## and ensure the differences are not too large
stopifnot(
 all.equal(qK0, qK1, tol = 1e-2) # !
 ,
 all.equal(qK1, qK2, tol = 1e-4)
 ,
 all.equal(qK2, qK3, tol = 1e-3)
 ,
 all.equal(qK3, qK4, tol = 1e-3)
 ,
 all.equal(qK4, qK0, tol = 1e-2) # !
)


stopifnot(all.equal(p, pK(qK0, cop@copula, d=d), tol = 0.04))

copula

Multivariate Dependence with Copulas

v1.0-1
GPL (>= 3) | file LICENCE
Authors
Marius Hofert [aut] (<https://orcid.org/0000-0001-8009-4665>), Ivan Kojadinovic [aut] (<https://orcid.org/0000-0002-2903-1543>), Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Jun Yan [aut] (<https://orcid.org/0000-0003-4401-7296>), Johanna G. Nešlehová [ctb] (evTestK(), <https://orcid.org/0000-0001-9634-4796>), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)
Initial release
2020-12-07

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