kdecopula: dkdecop – R documentation

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dkdecop

Working with kdecopula objects

Description

The function kdecop() stores it's result in object of class kdecopula. The density estimate can be evaluated on arbitrary points with dkdecop(); the cdf with pkdecop(). Furthermore, synthetic data can be simulated with rkdecop().

Usage

dkdecop(u, obj, stable = FALSE)

pkdecop(u, obj)

rkdecop(n, obj, quasi = FALSE)

Arguments

`u`	`mx2` matrix of evaluation points.
`obj`	`kdecopula` object.
`stable`	logical; option for stabilizing the estimator: the estimated density is cut off at 50.
`n`	integer; number of observations.
`quasi`	logical; the default (`FALSE`) returns pseudo-random numbers, use `TRUE` for quasi-random numbers (generalized Halton, see `qrng::ghalton()`).

Value

A numeric vector of the density/cdf or a n x 2 matrix of simulated data.

Author(s)

Thomas Nagler

References

#' Nagler, T. (2018) kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities. Journal of Statistical Software 84(7), 1-22

#' Geenens, G., Charpentier, A., and Paindaveine, D. (2017). Probit transformation for nonparametric kernel estimation of the copula density. Bernoulli, 23(3), 1848-1873.

Nagler, T. (2014). Kernel Methods for Vine Copula Estimation. Master's Thesis, Technische Universitaet Muenchen, https://mediatum.ub.tum.de/node?id=1231221

Cambou, T., Hofert, M., Lemieux, C. (2015). A primer on quasi-random numbers for copula models, arXiv:1508.03483

Examples

## load data and transform with empirical cdf
data(wdbc)
udat <- apply(wdbc[, -1], 2, function(x) rank(x) / (length(x) + 1))

## estimation of copula density of variables 5 and 6
fit <- kdecop(udat[, 5:6])
plot(fit) 

## evaluate density estimate at (u1,u2)=(0.123,0.321)
dkdecop(c(0.123, 0.321), fit) 

## evaluate cdf estimate at (u1,u2)=(0.123,0.321)
pkdecop(c(0.123, 0.321), fit) 

## simulate 500 samples from density estimate
plot(rkdecop(500, fit))

kdecopula

Kernel Smoothing for Bivariate Copula Densities

v0.9.2

GPL-3

Authors

Thomas Nagler [aut, cre], Kuangyu Wen [ctb]

Initial release