moCopula: The Marshall-Olkin Copula

In copula: Multivariate Dependence with Copulas

The Marshall-Olkin Copula

Description

Computes Marshall-Olkin copulas in the bivariate case.

Usage

moCopula(param = NA_real_, dim = 2L)

Arguments

param	numeric vector of length two specifying the copula parameters (in [0,1]).
dim	the dimension of the copula.

Value

moCopula() is the constructor for objects of class moCopula.

Note

Marshall-Olkin copulas are only implemented for dim = 2L.

See Also

The "moCopula" class, its mathematical definition, etc.

Examples

alpha <- c(0.2, 0.7)
MO <- moCopula(alpha)
tau(MO) # 0.18
lambda(MO)
stopifnot(all.equal(lambda(MO),
                    c(lower = 0, upper = 0.2)))
wireframe2  (MO, FUN = pCopula) # if you look carefully, you can see the kink
contourplot2(MO, FUN = pCopula)
set.seed(271)
plot(rCopula(1000, MO))

copula documentation built on Sept. 11, 2024, 7:48 p.m.