NewMEVGumbelCopula {SimCop}

Creates a Gumpel copula

Description

Creates an instance of the Gumbel copula with parameter r. This family is also known as the Gumbel–Hougaard copula or the logistic model.

Usage

NewMEVGumbelCopula(r = 2)

Arguments

r

real, the parameter of the Gumbel copula, defaults to 2, must be larger or equal to one.

Details

The following parameterisation of the copula is used:

C(u_1,\dots,u_d) = \exp\left(- \left\{ \sum_{j=1}^d \bar u_j^r \right\}^{1/r}\right)

where \bar u_j = -\log(u_j), j=1,\dots,d.

Value

A function that evaluates the Gumbel copula (with parameter r) at a given d-dimensional vector in the unit cube. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the Gumbel copula via automatic differentation.

Author(s)

Berwin A. Turlach <[e-mail]>

See Also

NewMEVAsyLogisticCopula