NewBEVAsyMixedModelCopula function

Creates a bivariate asymmetric mixed model extreme value copula

Creates an instance of the bivariate asymmetric mixed model extreme value copula with parameters $\phi$ and $\theta$.

NewBEVAsyMixedModelCopula(theta, phi)

Arguments

• theta: real.
• phi: real.

Returns

A function that evaluates the bivariate asymmetric mixed model EV copula (with parameters $\phi$ and $\theta$) at a given $2$-dimensional vector in the unit square. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the bivariate asymmetric mixed model EV copula via automatic differentation.

Details

The dependence function for this bivariate EV copula is

Necessary and sufficient conditions for the dependence function to be valid are

• $\theta \ge 0$
• $\theta + 3 \phi \ge 0$
• $\theta + \phi \le 1$
• $\theta + 2 \phi \le 1$

If $\phi = 0$ we obtain the symmetric mixed model.

See Also

NewBEVMixedModelCopula

Author(s)

Berwin A. Turlach berwin.turlach@gmail.com