NewBEVLogisticCopula {SimCop}

Creates a bivariate logistic model extreme value copula

Description

Creates an instance of the bivariate logistic model extreme value copula with parameter r.

Usage

NewBEVLogisticCopula(r)

Arguments

r

real.

Details

The dependence function for this bivariate EV copula is

A(w) = ((1-w)^r + w^r)^{1/r}

Necessary and sufficient conditions for the dependence function to be valid are

• r \ge 1

Value

A function that evaluates the bivariate logistic model EV copula (with parameter r) at a given 2-dimensional vector in the unit square. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the bivariate asymmetric mixed model EV copula via automatic differentation.

Author(s)

Berwin A. Turlach <[e-mail]>

See Also

NewBEVAsyLogisticCopula, NewMEVGumbelCopula