FrankCop: Construction of copula object for the Frank family

In AlexanderRitz/copR: Archimedean Copulas (copR)

Description

Constructs a frankcop object, holding all relevant information on a given copula of the "Frank" family. A parameter called theta and the number of dimensions has to be supplied. In this implementation Theta can only take negative values in the bivariate case. 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

frankcop(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 "frankcop" 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 the parameter
family	Name of constructed copula, e.g. "Frank"
distribution	A list consisting of 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.

Genest (1987). Frank's family of bivariate distributions. Biometrika (1987), 74, 3, pp. 549-55.

See Also

claycop and indcop

Examples

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

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