fgmCopula | R Documentation |
Constructs a multivariate multiparameter Farlie-Gumbel-Morgenstern copula class object with its corresponding parameters and dimension.
fgmCopula(param, dim = 2)
param |
a numeric vector specifying the parameter values. |
dim |
the dimension of the copula. |
A Farlie-Gumbel-Morgenstern copula object of class
"fgmCopula"
.
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.
Nelsen, R. B. (2006), An introduction to Copulas, Springer, New York.
Copula
, copula-class
,
fitCopula
.
## 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
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