Construction of Fréchet-Hoeffding Bound Copula Objects
Constructs the Fréchet-Hoeffding lower and upper bound copulas aka W and M.
fhCopula(family = c("upper", "lower"), dim = 2L)
lowfhCopula(dim = 2L)
upfhCopula(dim = 2L)family |
a character string specifying the Fréchet-Hoeffding bound copula. |
dim |
the dimension of the copula; note that the lower Fréchet-Hoeffding bound is only available in the bivariate case. |
A copula object of class "lowfhCopula"
or "upfhCopula".
fhCopula() is a wrapper for lowfhCopula() and
upfhCopula().
The dCopula() method will simply return an error
for these copulas (as their density does not exist). Also,
since the Fréchet-Hoeffding bound copulas are not
parametric, certain methods available for parametric copulas are
not available.
## Lower bound W : ------------------------- try(W <- lowfhCopula(dim = 3)) # lower bound is *not* a copula for dim > 2 W <- lowfhCopula() wireframe2(W, FUN = pCopula) plot(W, n=100) # perfect anti-correlation ( rho = tau = -1 ) ## Upper bound M : ------------------------- wireframe2(upfhCopula(dim = 2), pCopula) M <- upfhCopula(dim = 3) set.seed(271) splom2(M, n = 100) # "random" data: all perfectly correlated
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