R code for constructing confidence areas around the level curves of bivariate copulas

In his 2013 paper called An uncertain journey around the tails of multivariate hydrological distributions Serinaldi discusses the problem of constructing confidence areas for the level curves of bivariate copulas. A level curve at a specific p-value (also referred to as a p-level curve) may be used for estimating the p-th quantiles.

ci-level-curve-copula

The R code below implements a nonparametric bootstrap method for computing such confidence areas for p-level curves. Continue reading R code for constructing confidence areas around the level curves of bivariate copulas