NCSCopCdf function

Distribution function of a non-central squared copula

This function computes the distribution function a non-central squared copula

NCSCopCdf(u, family, param, dof = NULL)

Arguments

• u: (nx2) data matrix of pseudo-observations.
• family: 'Gaussian' , 't' , 'Clayton' , 'Frank' , 'Gumbel'.
• param: c(a1,a2,tau) where a1,a2 are the non-negative non-centrality
• dof: degrees of freedom of the Student copula (if needed).

Returns

• cdf: Non-central squared copula evaluated at points u.

Examples

param = c(0.8,2.5,0.7);
u = matrix(c(0.2,0.6,0.3,0.5,0.7,0.9),ncol=2,byrow=TRUE);
cdf=NCSCopCdf(u,'Clayton',param);

Author(s)

Bouchra R. Nasri, August 14, 2019