archmCopula {copula}R Documentation

Construction of Archimedean Copula Class Object

Description

Constructs an Archimedean copula class object with its corresponding parameter and dimension.

Usage

archmCopula(family, param, dim = 2, ...)
claytonCopula(param, dim = 2)
frankCopula(param, dim = 2)
gumbelCopula(param, dim = 2)
amhCopula(param, dim = 2)

Arguments

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.

Value

An Archimedean copula object of class "claytonCopula", "frankCopula", "gumbelCopula", or "amhCopula".

Note

"archmCopula" is a wrapper for "claytonCopula", "frankCopula", "gumbelCopula" and "amhCopula".

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.

Author(s)

Jun Yan <jyan@stat.uconn.edu>

See Also

ellipCopula

Examples

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)

[Package copula version 0.5-8 Index]