Archimedean Liouville Copulas

require(copula)
source(system.file("Rsource", "AC-Liouville.R", package="copula"))
set.seed(271)

Archimedean-Simplex copulas

n <- 1000
theta <- 0.59
d <- 3
U <- rACsimplex(n, d=d, theta=theta, Rdist="Gamma")
cor(U, method="kendall")
par(pty="s")
pairs(U, gap=0, cex=0.5)

Liouville copulas

See McNeil, Neslehova (2010, Figure 3)

n <- 2000
theta <- 0.6
alpha <- c(1, 5, 20)
U <- rLiouville(n, alpha=alpha, theta=theta, Rdist="Gamma")
cor(U, method="kendall")
par(pty="s")
pairs(U, gap=0, cex=0.5)

Archimedean-Liouville copulas

See McNeil, Neslehova (2010, Figure 4)

n <- 1000
theta <- 0.59
alpha <- c(1, 3, 4)
U <- rACLiouville(n, alpha=alpha, theta=theta, family="Clayton")
cor(U, method="kendall")
par(pty="s")
pairs(U, gap=0, cex=0.5)


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copula documentation built on June 15, 2022, 5:07 p.m.