NewMVFrankCopula: Creates a Frank copula
In SimCop: Simulate from Arbitrary Copulae

Description Usage Arguments Details Value Author(s)

Creates an instance of the Frank copula with parameter α.

1	NewMVFrankCopula(alpha = 1)

alpha

real, the parameter of the Frank copula, defaults to 2; must be positive.

The following parameterisation of the copula is used:

C(u_1,…,u_d) = -log( 1 + exp(s) * t) / alpha

where s = ∑_j log( (exp(-alpha u_j) -1) / t ) 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>

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