fgmCopula {copula}R Documentation

Construction of a fgmCopula Class Object

Description

Constructs a multivariate multi-parameter Farlie-Gumbel-Morgenstern copula (see Nelsen 1999, p 87) class object with its corresponding parameters and dimension.

Usage

fgmCopula(param, dim = 2)

Arguments

param a numeric vector specifying the parameter values.
dim the dimension of the copula.
... currently nothing.

Value

A Farlie-Gumbel-Morgenstern copula object of class "fgmCopula".

Note

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.

Author(s)

Ivan Kojadinovic <ivan.kojadinovic@univ-nantes.fr>

References

Nelsen (1999), An introduction to Copulas, Springer, New York.

See Also

Copula, copula-class.

Examples

## a bivariate example
fgm.cop <- fgmCopula(1)
x <-rcopula(fgm.cop, 1000)
cor(x,method="kendall")
kendallsTau(fgm.cop)
cor(x,method="spearman")
spearmansRho(fgm.cop)
persp(fgm.cop, dcopula)
contour(fgm.cop, dcopula)

## a trivariate example with wrong parameter values
## fgm2.cop <- fgmCopula(c(1,1,1,1), dim=3)

## a trivariate example with satisfactory parameter values
fgm2.cop <- fgmCopula(c(.2,-1,-0.3,1), dim=3)
fgm2.cop

[Package copula version 0.5-3 Index]