ClayCop: Construction of copula object for the Clayton family

In AlexanderRitz/copR: Archimedean Copulas (copR)

Description

Constructs a claycop object, holding all relevant information on a given copula of the "Clayton" family. A parameter called theta and the number of dimensions has to be supplied. In this implementation Theta can only take positive values. If the supplied parameter is too close to zero, you will be informed that the use of an Independence copula is recommended in this case.

Usage

claycop(par = NA, dim = 2L)

Arguments

par	double. Supplies value of parameter of the copula to be constructed.
dim	integer. Supplies the number of dimensions of the copula to be constructed.

Value

A list of class "claycop" with elements

dimension	Number of dimensions
generator	List containing expressions for the generator function and its inverse
parameter	Parameter value of generator function
prange	Vector of upper and lower bounds of permitted parameter values
family	Name of constructed copula family, e.g. "Clayton"
distribution	A list consisting of expressions for cdf and pdf

The expressions can be evaluated for the parameter theta and additionally the variable "t" in case of the generator function, "s" for its inverse and variables "ui" in the case of cdf and pdf.

References

Hofert et al. (2018). Elements of Copula Modeling with R. Springer.

Nelsen (2006). An introduction to copulas. Springer Series in Statistics. Second Edition.

Frees and Valdez (1998). Understanding Relationships Using Copulas. North American Actuarial Journal 2(1):1-25. January 1998

See Also

frankcop and indcop

Examples

excop <- claycop(par = 5, dim = 2)
summary(excop)

AlexanderRitz/copR documentation built on Oct. 30, 2019, 4:11 a.m.