NewMVClaytonCopula: Creates a Clayton copula
In SimCop: Simulate from Arbitrary Copulae

Description Usage Arguments Details Value Author(s)

Creates an instance of the Clayton copula with parameter theta.

1	NewMVClaytonCopula(theta = 1)

theta

real, the parameter of the Clayton copula, defaults to 1; must be positive.

The following parameterisation of the copula is used:

C(u_1,…,u_d) = ( { ∑_j u_j^{-theta} } - d + 1)^{-1/theta}

A function that evaluates the Clayton copula (with parameter alpha) 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 Clayton copula via automatic differentation.

Berwin A. Turlach <berwin.turlach@gmail.com>

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