dcopula.AC {QRMlib}R Documentation

Archimedean Copula Density

Description

Evaluates the density associated with an Archimedean copula

Usage

dcopula.AC(u, theta, name, logvalue = TRUE)

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
theta copula parameter
name copula name, e.g. "gumbel", "clayton"
logvalue whether or not log density values should be returned (useful for ML)

Details

This is a generic function, designed so that further copulas, or expressions for densities of higher-dimensional copulas may be added. Clayton works in any dimension at present but Gumbel is only implemented for d=2. To extend one must calculate the dth derivative of the generator inverse and take logarithm of absolute value; this is the term called loggfunc. In addition, for other copulas, one needs the generator phi and the log of the negative value of its first derivative lnegphidash.

Value

vector of density values of length n

See Also

dcopula.gauss, fit.AC


[Package QRMlib version 1.4.4 Index]