theta2z: Transformation of the copula parameter

In CopulaRegression: Bivariate Copula Based Regression Models

Description

This function transforms the copula parameter theta such that theta2z(theta) is unrestricted.

Usage

theta2z(theta, family)

Arguments

theta	copula parameter
family	an integer defining the bivariate copula family: 1 = Gauss, 3 = Clayton, 4=Gumbel, 5=Frank

Details

This function transforms the parameter of a copula such that the transformed value in unconstrained. E.g., for the Gauss copula (family=1), the parameter θ lies in the interval ]-1,1[, and the transformation is defined as

θ \mapsto\frac{1}{2} \ln ≤ft(\frac{1+θ}{1-θ}\right)

Value

transformation

Author(s)

Nicole Kraemer

See Also

z2theta

Examples

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CopulaRegression documentation built on May 29, 2017, 5:47 p.m.