View source: R/NewMEVGumbelCopula.R
NewMEVGumbelCopula | R Documentation |
Creates an instance of the Gumbel copula with parameter r. This family is also known as the Gumbel–Hougaard copula or the logistic model.
NewMEVGumbelCopula(r = 2)
r |
real, the parameter of the Gumbel copula, defaults to 2, must be larger or equal to one. |
The following parameterisation of the copula is used:
C(u_1,\dots,u_d) = \exp\left(- \left\{ \sum_{j=1}^d \bar u_j^r \right\}^{1/r}\right)
where \bar u_j = -\log(u_j)
, j=1,\dots,d
.
A function that evaluates the Gumbel copula (with parameter r) at a given d
-dimensional vector in the unit cube. The environment of the function also contains a function called pdfCopula
that evaluates the probability density function of the Gumbel copula via automatic differentation.
Berwin A. Turlach berwin.turlach@gmail.com
NewMEVAsyLogisticCopula
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