NewMVClaytonCopula: Creates a Clayton copula
View source: R/NewMVClaytonCopula.R
| NewMVClaytonCopula | R Documentation |
Creates a Clayton copula
Description
Creates an instance of the Clayton copula with parameter \theta.
Usage
NewMVClaytonCopula(theta = 1)
Arguments
theta |
real, the parameter of the Clayton copula, defaults to 1; must be positive. |
Details
The following parameterisation of the copula is used:
C(u_1,\dots,u_d) = \left(\left\{ \sum_{j=1}^d u_j^{-\theta} \right\} - (d-1) \right)^{-1/\theta}
Value
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.
Author(s)
Berwin A. Turlach berwin.turlach@gmail.com
