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>
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