NewMVFrankCopula function

Creates a Frank copula

Creates an instance of the Frank copula with parameter $\alpha$.

NewMVFrankCopula(alpha = 1)

Arguments

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

Returns

A function that evaluates the Frank copula (with parameter $alpha$) 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 Frank copula via automatic differentation.

Details

The following parameterisation of the copula is used:

where $s = \sum_j log( (exp(-alpha u_j) -1) / t )$ and $t = exp(-alpha) - 1$.

Author(s)

Berwin A. Turlach berwin.turlach@gmail.com