Bivariate extreme-value copula from a Pickands dependence function

\(C(u,v) = \exp\{\log(uv) A(\log v / \log(uv))\}\). Built-in A choices follow Czado (2019) Table 3.1 p. 52. Every extreme-value copula is max-stable, \(C(u^k, v^k) = C(u,v)^k\). Mirrors morie.fn.copExt.

Usage

morie_extreme_value_copula(u, v, A = "gumbel", theta = 2)

Arguments

u, v

numeric vectors strictly inside (0, 1).

A

"gumbel", "galambos", "independence", or a function.

theta

parameter for the built-in families.

Value

list: cdf, pickands_at_half, valid_pickands, A, theta, method.

Examples

morie_extreme_value_copula(0.4, 0.7, "gumbel", 2)$cdf
#> [1] 0.3740885