Archimedean Liouville Copulas

In copula: Multivariate Dependence with Copulas

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knitr::opts_chunk$set(dpi = 48)
```r
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, pch=".") # or 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, pch=".") # or 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, pch=".") # or cex=0.5

copula documentation built on Feb. 16, 2023, 8:46 p.m.