dcopula.gauss {QRMlib}R Documentation

Gauss Copula Density

Description

evaluates density of Gauss copula

Usage

dcopula.gauss(u, 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
P correlation matrix of Gauss copula
logvalue whether or not log density values should be returned (useful for ML)

Details

see pages 197 and 234 in QRM

Value

vector of density values of length n

See Also

dmnorm, dcopula.clayton, dcopula.t, dcopula.gumbel

Examples

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

[Package QRMlib version 1.4.4 Index]