NewMEVGumbelCopula: Creates a Gumpel copula
In SimCop: Simulate from Arbitrary Copulae

Description Usage Arguments Details Value Author(s) See Also

Creates an instance of the Gumbel copula with parameter r. This family is also known as the Gumbel–Hougaard copula or the logistic model.

1	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,…,u_d) = exp(- { ∑_j v_j^r }^{1/r} )

where v_j = -log(u_j), j=1,…,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

SimCop documentation built on May 2, 2019, 12:34 p.m.