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)
family |
a character string specifying the family of an elliptical copula. Implemented families are "clayton", "frank", and "gumbel". |
param |
a numeric vector specifying the parameter values. |
dim |
the dimension of the copula. |
... |
currently nothing. |
An elliptical copula object of class "claytonCopula"
,
"frankCopula"
, or "gumbelCopula"
.
"archmCopula"
is a wrapper for "claytonCopula"
,
"frankCopula"
, and "gumbelCopula"
.
For dim > 6, the expression of pdf is not available due to intensive compting involved in symbolically differentiating the cdf. Therefore, for dim > 6, likelihood estimation cannot be done yet.
Jun Yan <jyan@stat.uiowa.edu>
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)