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>
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