fgmCopula: Construction of a fgmCopula Class Object In copula: Multivariate Dependence with Copulas

 fgmCopula R Documentation

Construction of a fgmCopula Class Object

Description

Constructs a multivariate multiparameter Farlie-Gumbel-Morgenstern copula class object with its corresponding parameters and dimension.

Usage

```fgmCopula(param, dim = 2)
```

Arguments

 `param` a numeric vector specifying the parameter values. `dim` the dimension of the copula.

Value

A Farlie-Gumbel-Morgenstern copula object of class `"fgmCopula"`.

Note

The verification of the validity of the parameter values is of high complexity and may not work for high dimensional copulas.

The random number generation needs to be properly tested, especially for dimensions higher than 2.

References

Nelsen, R. B. (2006), An introduction to Copulas, Springer, New York.

`Copula`, `copula-class`, `fitCopula`.

Examples

```## a bivariate example
fgm.cop <- fgmCopula(1)
x <- rCopula(1000, fgm.cop)
cor(x, method = "kendall")
tau(fgm.cop)
cor(x, method = "spearman")
rho(fgm.cop)
persp  (fgm.cop, dCopula)
contour(fgm.cop, dCopula)

## a trivariate example with wrong parameter values
try(
fgm2.cop <- fgmCopula(c(1,1,1,1), dim = 3)
) # Error: "Bad vector of parameters"

## a trivariate example with satisfactory parameter values
fgm2.cop <- fgmCopula(c(.2,-.2,-.4,.6), dim = 3)
fgm2.cop
```

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