coplik {CopulaGAMM}

Copula cdf/pdf and ders

Description

Derivatives C(u|v), C'_dl(u|v), c(u,v), c'_dl(u,v), c'_u(u,v) for the linking copula

Usage

coplik(u, v, family, rot = 0, cpar, dfC = NULL, du = FALSE)

Arguments

u

vector of values in (0,1)

v

conditioning variable in (0,1)

family

copula family: "gaussian", "t", "clayton", "frank", "fgm", "gumbel", "joe", "plackett".

rot

rotation: 0 (default), 90, 180 (survival), or 270

cpar

copula parameter

dfC

degrees of freedom for the Student copula (default is NULL)

du

logical value (default = FALSE) for the derivative of the copula density with respect to u

Value

out

Matrix of conditional cdf, pdf, and derivatives with respect to parameters

Author(s)

Pavel Krupskii and Bruno N. Remillard, January 20, 2022

Examples

out = coplik(0.3,0.5,"clayton",cpar=2,du=TRUE)