NewMEVGumbelCopula function

Creates a Gumpel copula

Creates an instance of the Gumbel copula with parameter r. This family is also known as the Gumbel--Hougaard copula or the logistic model.

NewMEVGumbelCopula(r = 2)

Arguments

• r: real, the parameter of the Gumbel copula, defaults to 2, must be larger or equal to one.

Returns

A function that evaluates the Gumbel copula (with parameter r) 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 Gumbel copula via automatic differentation.

Details

The following parameterisation of the copula is used:

where $v_j = -log(u_j)$, $j=1,\dots,d$.

See Also

NewMEVAsyLogisticCopula

Author(s)

Berwin A. Turlach berwin.turlach@gmail.com