copulaEmp function

Empirical copula

This function computes the empirical bivariate copula at a series of points.

copulaEmp(u, U)

Arguments

• u: (nx2) data matrix of points.
• U: (nx2) data matrix of pseudo-observations.

Returns

• cdf: Empirical copula values at u.

Examples

param <- c(0.8, 2.5, 0.7) ;
U <- SimNCSCop('Clayton', 250, param)
u = matrix(c(0.2,0.6,0.3,0.5,0.7,0.9),ncol=2,byrow=TRUE);
cdf=copulaEmp(u,U);

Author(s)

Bouchra R. Nasri, August 14, 2019