bivariateEFGM {Distributacalcul}

Bivariate Eyraud-Farlie-Gumbel-Morgenstern (EFGM) Copula

Description

Computes CDF, PDF and simulations of the EFGM copula.

Usage

cBivariateEFGM(u1, u2, dependencyParameter)

cdBivariateEFGM(u1, u2, dependencyParameter)

crBivariateEFGM(numberSimulations = 10000, seed = 42, dependencyParameter)

Arguments

u1, u2

points at which to evaluate the copula.

dependencyParameter

correlation parameter.

numberSimulations

Number of simulations.

seed

Simulation seed, 42 by default.

Details

The EFGM copula has CDF :

Value

Function :

• cBivariateEFGM returns the value of the copula.

• cdBivariateEFGM returns the value of the density function associated to the copula.

• crBivariateEFGM returns simulated values of the copula.

Examples

cBivariateEFGM(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)

cdBivariateEFGM(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)

crBivariateEFGM(numberSimulations = 10, seed = 42, dependencyParameter = 0.2)