bivariateCA: Bivariate Cuadras-Augé Copula

In Distributacalcul: Probability Distribution Functions

Description

Computes CDF and simulations of the bivariate Cuadras-Augé copula.

Usage

cBivariateCA(u1, u2, dependencyParameter, ...)

crBivariateCA(numberSimulations = 10000, seed = 42, dependencyParameter)

Arguments

u1, u2	points at which to evaluate the copula.
dependencyParameter	correlation parameter.
...	other parameters.
numberSimulations	Number of simulations.
seed	Simulation seed, 42 by default.

Details

The bivariate Cuadras-Augé copula has CDF :

C(u1, u2) = u1 u2^(1 - alpha) * 1_(u1 <= u2) + u1^(1 - alpha) u2 * 1_(u1 >= u2)

for 0 <= u1, u2, alpha <= 1. It is the geometric mean of the independance and upper Fréchet bound copulas.

Value

Function :

• cBivariateCA returns the value of the copula.

• crBivariateCA returns simulated values of the copula.

Examples

cBivariateCA(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)

crBivariateCA(numberSimulations = 10, seed = 42, dependencyParameter = 0.2)

Distributacalcul documentation built on Sept. 13, 2020, 5:19 p.m.