dcopula.t {QRMlib}R Documentation

t Copula Density

Description

evaluates density of t copula

Usage

dcopula.t(u, nu, P, logvalue=FALSE)

Arguments

u matrix of dimension n times d, where d is the dimension of the copula and n is the number of vector values at which to evaluate density
nu degrees of freedom of t copula
P correlation matrix of t copula
logvalue whether or not log density values should be returned (useful for ML)

Details

see pages 197 and 235 of QRM

Value

vector of density values of length n

See Also

dmt, dcopula.clayton, dcopula.gumbel, dcopula.gauss

Examples

ll <- c(0.01,0.99);
#create perspective plot for bivariate density:
BiDensPlot(func=dcopula.t,xpts=ll,ypts=ll,nu=4,P=equicorr(2,0.5));

[Package QRMlib version 1.4.4 Index]