View source: R/NewMVFrankCopula.R
NewMVFrankCopula | R Documentation |
Creates an instance of the Frank copula with parameter \alpha
.
NewMVFrankCopula(alpha = 1)
alpha |
real, the parameter of the Frank copula, defaults to 1; must be positive. |
The following parameterisation of the copula is used:
C(u_1,\dots,u_d) = -\log(1+\exp(s) * t)/\alpha
where s = \sum_{j=1}^d \log\left(\frac{\exp(-\alpha u_j) -1 }{t}\right)
and t=\exp(-\alpha)-1
.
A function that evaluates the Frank 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 Frank copula via automatic differentation.
Berwin A. Turlach berwin.turlach@gmail.com
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