fgmCopula-class {copula} | R Documentation |
Multivariate multi-parameter Farlie-Gumbel-Morgenstern copula as defined in Nelsen (1999, p 87).
Objects can be created by calls of the form new("fgmCopula",
...)
.
exprdist
:"expression"
,
expressions for the cdf and pdf of the copula. These expressions
are used in function 'pcopula' and 'dcopula'. dimension
:"numeric"
~~ parameters
:"numeric"
~~ param.names
:"character"
~~ param.lowbnd
:"numeric"
~~ param.upbnd
:"numeric"
~~ message
:"character"
~~ signature(copula = "fgmCopula")
: ... signature(copula = "fgmCopula")
: ... signature(copula = "fgmCopula")
: ...
Class "fgmCopula"
extends class "copula"
directly.
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.
Ivan Kojadinovic <ivan.kojadinovic@univ-nantes.fr>
Nelsen (1999), An introduction to Copulas, Springer, New York.
copula-class
, fgmCopula-class
.