BicopFamily

class BicopFamily

A bivariate copula family identifier.

The following convenient sets of families are also provided:

  • all contains all the families,

  • parametric contains the parametric families (all except tll),

  • nonparametric contains the nonparametric families (indep and tll)

  • one_par contains the parametric families with a single parameter, (gaussian, clayton, gumbel, frank, and joe),

  • two_par contains the parametric families with two parameters (student, bb1, bb6, bb7, and bb8),

  • three_par contains the parametric families with three parameters (tawn),

  • elliptical contains the elliptical families (gaussian and student),

  • archimedean contains the archimedean families (clayton, gumbel, frank, joe, bb1, bb6, bb7, and bb8),

  • extreme_value contains the extreme value families (tawn and gumbel),

  • bb contains the BB families (bb1, bb6, bb7, and bb8),

  • itau families for which estimation by Kendall’s tau inversion is available (indep, gaussian, student, clayton, gumbel, frank, joe),

  • lt contains the families that are lower-tail dependent (clayton, bb1, bb7, tawn),

  • ut contains the families that are upper-tail dependent (gumbel, joe, bb1, bb6, bb7, bb8, tawn),

  • flip_by_rotation contains families that can be flipped by rotation (clayton, gumbel, frank , joe, bb1, bb6, bb7, bb8, tawn),

  • rotationless contains families that don’t have a rotation because they already cover positive and negative dependence (indep, gaussian, student, frank, tll).

Members:

indep : Independence copula

gaussian : Gaussian copula

student : Student t copula

clayton : Clayton copula

gumbel : Gumbel copula

frank : Frank copula

joe : Joe copula

bb1 : BB1 copula

bb6 : BB6 copula

bb7 : BB7 copula

bb8 : BB8 copula

tawn : Tawn copula

tll : Transformation local likelihood kernel estimator