fnorders function

Farlie-Gumbel-Morgenstern copula cdf/pdf and ders

Derivatives C(u|v), C'_dl(u|v), c(u,v), c'_dl(u,v), c'_u(u,v) for the linking copula

fnorders(u, v, cpar, du = FALSE)

Arguments

• u: vector of values in (0,1)
• v: conditioning variable in (0,1)
• cpar: copula parameter in (-1,1)
• du: logical value (default = FALSE) for the derivative of the copula density with respect to u

Returns

• out: Matrix of conditional cdf, pdf, and derivatives with respect to parameter

Examples

out = fnorders(0.3,0.5,0.6,TRUE)

Author(s)

Pavel Krupskii and Bruno N. Remillard, January 20, 2022