frechetUpperBound {Distributacalcul}

Fréchet Upper Bound Copula

Description

Computes CDF and simulations of the Fréchet upper bound copula.

Usage

cFrechetUpperBound(u1, u2, ...)

crFrechetUpperBound(numberSimulations = 10000, seed = 42)

Arguments

u1, u2

points at which to evaluate the copula.

...

other parameters.

numberSimulations

Number of simulations.

seed

Simulation seed, 42 by default.

Details

The Fréchet upper bound copula has CDF :

C(u_{1}, u_{2}) = \min(u_{1}, u_{2})

for u_{1}, u_{2} \in [0, 1].

Value

Function :

• cFrechetUpperBound returns the value of the copula.

• crFrechetUpperBound returns simulated values of the copula.

Examples

cFrechetUpperBound(u1 = .56, u2 = 0.4)

crFrechetUpperBound(numberSimulations = 10, seed = 42)