copula: asymCopula-class – R documentation

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asymCopula-class

Class "khoudrajiCopula" and its Subclasses

Description

The virtual class "asymCopula" of (conceptually) all asymmetric copulas and its ‘subclass’ "asym2copula" of those which are constructed from two copulas.

More specifically, the class "khoudrajiCopula" and its two subclasses "khoudrajiBivCopula" and "khoudrajiExplicitCopula" represent copulas constructed using Khoudraji's device from two copulas of the same dimension; see khoudrajiCopula() for more details.

Objects from the Class

Objects are typically created via khoudrajiCopula(...).

Slots

As these classes extend "copula", they have all its slots: dimension, parameters, param.names, param.lowbnd, param.upbnd, and fullname. The classes "khoudrajiCopula" and "khoudrajiBivCopula" have the extra slots

copula1:: object of class "copula".
copula2:: second object of class "copula".

In addition to these, the class "khoudrajiExplicitCopula" has the slots

exprdist:: an expression, ...

derExprs1:: an expression of length d, ...

derExprs2:: an expression of length d, ...

Methods

When possible, methods are defined at the "khoudrajiCopula" class level. The implementation of method dCopula for instance is however not possible at that level. In addition, it differs for "khoudrajiBivCopula" and "khoudrajiExplicitCopula" classes.

References

Genest, C., Ghoudi, K., and Rivest, L.-P. (1998), Discussion of "Understanding relationships using copulas", by Frees, E., and Valdez, E., North American Actuarial Journal 3, 143–149.

Khoudraji, A. (1995), Contributions à l'étude des copules et àla modélisation des valeurs extrêmes bivariées, PhD thesis, Université Laval, Québec, Canada.

Liebscher, E. (2008), Construction of asymmetric multivariate copulas, Journal of Multivariate Analysis 99, 2234–2250.

Examples

showClass("khoudrajiCopula")# two subclasses

## all methods applicable to these subclasses:
(meths <- sapply(names(getClass("khoudrajiCopula")@subclasses),
                 function(CL) methods(class = CL),
                 simplify=FALSE))

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