NewMVFrankCopula {SimCop}

Creates a Frank copula

Description

Creates an instance of the Frank copula with parameter \alpha.

Usage

NewMVFrankCopula(alpha = 1)

Arguments

alpha

real, the parameter of the Frank copula, defaults to 2; must be positive.

Details

The following parameterisation of the copula is used:

C(u_1,\dots,u_d) = -\log(1+\exp(s) * t)/\alpha

where s = \sum_{j=1}^d \log\left(\frac{\exp(-\alpha u_j) -1 }{t}\right) and t=\exp(-\alpha)-1.

Value

A function that evaluates the Frank 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 Frank copula via automatic differentation.

Author(s)

Berwin A. Turlach <[e-mail]>