[Vinecopula-commits] r29 - in pkg: inst man
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noreply at r-forge.r-project.org
Fr Okt 11 09:46:50 CEST 2013
Author: ulf
Date: 2013-10-11 09:46:49 +0200 (Fri, 11 Oct 2013)
New Revision: 29
Modified:
pkg/inst/ChangeLog
pkg/man/BiCopCDF.Rd
pkg/man/VineCopula-package.Rd
Log:
Hier ein Vorschlag von Eike und mir f?\195?\188r die Benennung der beiden Tawn copula Typen und deren Beschreibung (VineCopula-package.Rd).
Modified: pkg/inst/ChangeLog
===================================================================
--- pkg/inst/ChangeLog 2013-10-10 07:28:40 UTC (rev 28)
+++ pkg/inst/ChangeLog 2013-10-11 07:46:49 UTC (rev 29)
@@ -12,9 +12,12 @@
* BetaMatrix Matrix of empirical Blomqvist's beta values
* BiCopPar2Beta Blomqvist's beta value of a bivariate copula
* RVinePar2Beta Blomqvist's beta values of an R-vine copula model
- * New copula familes for most of the BiCop as well as for the RVine-functions: The Tawn copula has be definition three parameters. We fixed the second or the third parameter to one to stay consitent with the notation used so far.
-The families 104,114,124,134 denote the Tawn copula and their rotated versions in the case that the third parameter is fixed to 1.
-The families 204,214,224,234 denote the Tawn copula and their rotated versions in the case that the second parameter is fixed to 1.
+ * New copula familes for most of the BiCop as well as for the RVine-functions: As an asymmetric extension of the Gumbel copula, the Tawn copula with three parameters is now also included in the package.
+Both the Gumbel and the Tawn copula are extreme-value copulas, which can be defined in terms of their corresponding Pickands dependence functions.
+For simplicity, we implemented two versions of the Tawn copula with two parameters each.
+Each type has one of the asymmetry parameters fixed to 1, so that the corresponding Pickands dependence is either left- or right-skewed. In the manual we will call these two new copulas "Tawn type 1" and "Tawn type 2".
+The families 104,114,124,134 denote the Tawn copula and their rotated versions in the case of left skewness (Tawn type 1).
+The families 204,214,224,234 denote the Tawn copula and their rotated versions in the case of right skewness (Tawn type 2).
- Bug fix:
* RVineStructureSelect: Corrected code for the igraph package
Modified: pkg/man/BiCopCDF.Rd
===================================================================
--- pkg/man/BiCopCDF.Rd 2013-10-10 07:28:40 UTC (rev 28)
+++ pkg/man/BiCopCDF.Rd 2013-10-11 07:46:49 UTC (rev 29)
@@ -15,11 +15,11 @@
\item{u1,u2}{Numeric vectors of equal length with values in [0,1].}
\item{family}{An integer defining the bivariate copula family: \cr
\code{0} = independence copula \cr
- \code{1} = Gaussian copula \cr
- \code{3} = Clayton copula \cr
- \code{4} = Gumbel copula \cr
- \code{5} = Frank copula \cr
- \code{6} = Joe copula \cr
+ \code{1} = Gaussian copula \cr
+ \code{3} = Clayton copula \cr
+ \code{4} = Gumbel copula \cr
+ \code{5} = Frank copula \cr
+ \code{6} = Joe copula \cr
\code{7} = BB1 copula \cr
\code{8} = BB6 copula \cr
\code{9} = BB7 copula \cr
@@ -45,17 +45,17 @@
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
\code{40} = rotated BB8 copula (270 degrees) \cr
- \code{104} = Tawn copula with fixed third parameter \cr
- \code{114} = rotated Tawn copula (180 degrees) with fixed third parameter \cr
- \code{124} = rotated Tawn copula (90 degrees) with fixed third parameter \cr
- \code{134} = rotated Tawn copula (270 degrees) with fixed third parameter \cr
- \code{204} = Tawn copula with fixed second parameter \cr
- \code{214} = rotated Tawn copula (180 degrees) with fixed second parameter \cr
- \code{224} = rotated Tawn copula (90 degrees) with fixed second parameter \cr
- \code{234} = rotated Tawn copula (270 degrees) with fixed second parameter \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter.}
- \item{par2}{Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8; default: \code{par2 = 0}). \code{par2} should be an positive integer for the Students's t copula \code{family=2}.}
+ \item{par2}{Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: \code{par2 = 0}). \code{par2} should be an positive integer for the Students's t copula \code{family=2}.}
}
\value{
Modified: pkg/man/VineCopula-package.Rd
===================================================================
--- pkg/man/VineCopula-package.Rd 2013-10-10 07:28:40 UTC (rev 28)
+++ pkg/man/VineCopula-package.Rd 2013-10-11 07:46:49 UTC (rev 29)
@@ -28,6 +28,11 @@
in particular, if BB6, BB7 and BB8 copulas are close to the Joe copula which is a boundary case of these three copula families.
In general, the user should be careful with extreme parameter choices.
+As an asymmetric extension of the Gumbel copula, the Tawn copula with three parameters is now also included in the package.
+Both the Gumbel and the Tawn copula are extreme-value copulas, which can be defined in terms of their corresponding Pickands dependence functions.
+For simplicity, we implemented two versions of the Tawn copula with two parameters each.
+Each type has one of the asymmetry parameters fixed to 1, so that the corresponding Pickands dependence is either left- or right-skewed. In the manual we will call these two new copulas "Tawn type 1" and "Tawn type 2".
+
The following table shows the parameter ranges of bivariate copula families with parameters \code{par} and \code{par2}:
\tabular{lll}{
Copula family \tab \code{par} \tab \code{par2} \cr
@@ -48,6 +53,8 @@
Rotated Joe-Gumbel (90 and 270 degrees) \tab \eqn{(-\infty,-1]} \tab \eqn{(-\infty,-1]} \cr
Rotated Joe-Clayton (90 and 270 degrees) \tab \eqn{(-\infty,-1]} \tab \eqn{(-\infty,0)} \cr
Rotated Joe-Frank (90 and 270 degrees) \tab \eqn{(-\infty,-1]} \tab \eqn{[-1,0)} \cr
+(Survival) Tawn type 1 and type 2 \tab \eqn{[1,\infty)} \tab \eqn{[0,1]} \cr
+Rotated Tawn type 1 and type 2 (90 and 270 degrees) \tab \eqn{(-\infty,-1]} \tab \eqn{[0,1]} \cr
}
}
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