archmCopula {copula} | R Documentation |
Constructs an Archimedean copula class object with its corresponding parameter and dimension.
archmCopula(family, param, dim = 2, ...) claytonCopula(param, dim = 2) frankCopula(param, dim = 2) gumbelCopula(param, dim = 2) amhCopula(param, dim = 2)
family |
a character string specifying the family of an Archimedean copula. Implemented families are "clayton", "frank", and "gumbel". |
param |
a numeric vector specifying the parameter values. |
dim |
the dimension of the copula. |
... |
currently nothing. |
"archmCopula"
is a wrapper for "claytonCopula"
,
"frankCopula"
, "gumbelCopula"
and "amhCopula"
.
Only the bivariate Ali-Mikhail-Haq copula family ("amhCopula"
)
is available.
The maximum dimension for which the expression of the pdf is available is 6 for the Clayton, Gumbel and Frank families. The cdf expression is always available.
The maximum dimension for which "dcopula"
can be evaluated is
10 for the Clayton and Gumbel families, and 6 for the Frank family. They are also the
maximum dimensions for which maximum likelihood estimation can be done.
An Archimedean copula object of class "claytonCopula"
,
"frankCopula"
, "gumbelCopula"
, or "amhCopula"
.
R.B. Nelsen (2006), An introduction to Copulas, Springer, New York.
clayton.cop <- claytonCopula(2, dim = 3) ## scatterplot3d(rcopula(clayton.cop, 1000)) frank.cop <- frankCopula(3) persp(frank.cop, dcopula) gumbel.cop <- archmCopula("gumbel", 5) contour(gumbel.cop, dcopula) amh.cop <- amhCopula(0.5) ## A 7-dim Frank copula frank.cop <- frankCopula(3, dim = 7) x <- rcopula(frank.cop, 5) ## dcopula doesn't work ## Not run: dcopula(frank.cop, x) ## End(Not run) ## A 7-dim Gumbel copula gumbel.cop <- gumbelCopula(2, dim = 7) ## exprdist$pdf is not available gumbel.cop@exprdist ## but can still be evaluated dcopula(gumbel.cop, x)