NewMVClaytonCopula {SimCop}

Creates a Clayton copula

Description

Creates an instance of the Clayton copula with parameter \theta.

Usage

NewMVClaytonCopula(theta = 1)

Arguments

theta

real, the parameter of the Clayton copula, defaults to 1; must be positive.

Details

The following parameterisation of the copula is used:

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

Value

A function that evaluates the Clayton copula (with parameter \alpha) 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 Clayton copula via automatic differentation.

Author(s)

Berwin A. Turlach <[e-mail]>