frechetUpperBound: Fréchet Upper Bound Copula

In Distributacalcul: Probability Distribution Functions

Fréchet Upper Bound Copula

Description

Computes CDF and simulations of the Fréchet upper bound copula.

Usage

cFrechetUpperBound(u1, u2, ...)

crFrechetUpperBound(numberSimulations = 10000, seed = 42)

Arguments

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

Details

The Fréchet upper bound copula has CDF :

C(u_{1}, u_{2}) = \min(u_{1}, u_{2})

for u_{1}, u_{2} \in [0, 1].

Value

Function :

• cFrechetUpperBound returns the value of the copula.

• crFrechetUpperBound returns simulated values of the copula.

Examples

cFrechetUpperBound(u1 = .56, u2 = 0.4)

crFrechetUpperBound(numberSimulations = 10, seed = 42)

Distributacalcul documentation built on May 29, 2024, 9:25 a.m.