MAT8886 copulas and extremes

Interactive 3d plot, in R

September 20, 2012 | arthur charpentier

Following the course of this afternoon, I will just upload some codes to make interactive 3d plots, in R. __ library(rgl) __ library(evd); __ data(lossalae) __ U=rank(lossalae[,1]+rnorm(nrow(lossalae), + mean=0,sd=.001))/(nrow(lossalae)+1) ... [Read more...]

Copulas and tail dependence, part 3

September 18, 2012 | arthur charpentier

We have seen extreme value copulas in the section where we did consider general families of copulas. In the bivariate case, an extreme value can be writtenwhere is Pickands dependence function, which is a convex function satisfyingObserve that in ... [Read more...]

Copulas and tail dependence, part 1

September 17, 2012 | arthur charpentier

As mentioned in the course last week Venter (2003) suggested nice functions to illustrate tail dependence (see also some slides used in Berlin a few years ago). Joe (1990)'s lambda Joe (1990) suggested a (strong) tail dependence index. For lower t... [Read more...]

Kendall’s function for copulas

September 12, 2012 | arthur charpentier

As mentioned in the course on copulas, a nice tool to describe dependence it Kendall's cumulative function. Given a random pair with distribution  , define random variable . Then Kendall's cumulative function is Genest and Rivest (1993) intr... [Read more...]

Association and concordance measures

September 12, 2012 | arthur charpentier

Following the course, in order to define assocation measures (from Kruskal (1958)) or concordance measures (from Scarsini (1984)), define a concordance function as follows: let be a random pair with copula , and with copula . Then define the so-... [Read more...]

MAT8886 the Dirichlet distribution

February 15, 2012 | arthur charpentier

In the course, still introducing some concept of dependent distributions, we will talk about the Dirichlet distribution (which is a distribution over the simplex of ). Let denote the Gamma distribution with density (on ) Let denote independent... [Read more...]

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)