fgmCopula-class {copula}R Documentation

Class "fgmCopula"

Description

Multivariate multi-parameter Farlie-Gumbel-Morgenstern copula as defined in Nelsen (1999, p 87).

Objects from the Class

Objects can be created by calls of the form new("fgmCopula", ...).

Slots

exprdist:
Object of class "expression", expressions for the cdf and pdf of the copula. These expressions are used in function 'pcopula' and 'dcopula'.
dimension:
Object of class "numeric" ~~
parameters:
Object of class "numeric" ~~
param.names:
Object of class "character" ~~
param.lowbnd:
Object of class "numeric" ~~
param.upbnd:
Object of class "numeric" ~~
message:
Object of class "character" ~~

Methods

dcopula
signature(copula = "fgmCopula"): ...
pcopula
signature(copula = "fgmCopula"): ...
rcopula
signature(copula = "fgmCopula"): ...

Extends

Class "fgmCopula" extends class "copula" directly.

Note

The verification of the validity of the parameter values is of high complexity and may not work for high dimensional copulas.

The random number generation needs to be properly tested, especially for dimensions higher than 2.

Author(s)

Ivan Kojadinovic, ivan@stat.auckland.ac.nz

References

Nelsen (1999), An introduction to Copulas, Springer, New York.

See Also

copula-class, fgmCopula-class.


[Package copula version 0.6-6 Index]