frechet: Fréchet Copula

In Distributacalcul: Probability Distribution Functions

Description

Computes CDF and simulations of the Fréchet copula.

Usage

cFrechet(u1, u2, dependencyParameter, ...)

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

Arguments

u1, u2	points at which to evaluate the copula.
dependencyParameter	correlation parameters, must be vector of length 2.
...	other parameters.
numberSimulations	Number of simulations.
seed	Simulation seed, 42 by default.

Details

The Fréchet copula has CDF :

C(u1, u2) = (1 - alpha - beta) (u1 * u2) + alpha min(u1, u2) + beta max(u1 + u2 - 1, 0)

for 0 <= u1, u2, alpha, beta <= 1 and alpha + beta <= 1.

Value

Function :

• cFrechet returns the value of the copula.

• crFrechet returns simulated values of the copula.

Examples

cFrechet(u1 = .76, u2 = 0.4, dependencyParameter = c(0.2, 0.3))

crFrechet(numberSimulations = 10, seed = 42, dependencyParameter = c(0.2, 0.3))

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