NewMVClaytonCopula function

Creates a Clayton copula

Creates a Clayton copula

Creates an instance of the Clayton copula with parameter thetatheta.

NewMVClaytonCopula(theta = 1)

Arguments

  • theta: real, the parameter of the Clayton copula, defaults to 1; must be positive.

Returns

A function that evaluates the Clayton copula (with parameter alphaalpha) at a given dd-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 Clayton copula via automatic differentation.

Details

The following parameterisation of the copula is used:

C(u1,…,ud)=({∑j=1duj−θ}−(d−1))−1/θC(u1,…,ud)=(∑juj−theta−d+1)−1/theta C(u_1,\dots,u_d) = \left(\left\{ \sum_{j=1}^d u_j^{-\theta} \right\} - (d-1) \right)^{-1/\theta}C(u_1,\dots,u_d) = ( { \sum_j u_j^{-theta} } - d + 1)^{-1/theta}

Author(s)

Berwin A. Turlach berwin.turlach@gmail.com

SimCop packageRead PDF manual
  • Maintainer: Berwin A. Turlach
  • License: GPL (>= 2)
  • Last published: 2025-04-13

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