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Distributacalcul (version 0.4.0)

bivariateEFGM: Bivariate Eyraud-Farlie-Gumbel-Morgenstern (EFGM) Copula

Description

Computes CDF, PDF and simulations of the EFGM copula.

Usage

cBivariateEFGM(u1, u2, dependencyParameter)
cdBivariateEFGM(u1, u2, dependencyParameter)
crBivariateEFGM(numberSimulations = 10000, seed = 42, dependencyParameter)

Value

Function :

  • cBivariateEFGM returns the value of the copula.

  • cdBivariateEFGM returns the value of the density function associated to the copula.

  • crBivariateEFGM returns simulated values of the copula.

Arguments

u1, u2

points at which to evaluate the copula.

dependencyParameter

correlation parameter.

numberSimulations

Number of simulations.

seed

Simulation seed, 42 by default.

Details

The EFGM copula has CDF :

Examples

Run this code
cBivariateEFGM(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)

cdBivariateEFGM(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)

crBivariateEFGM(numberSimulations = 10, seed = 42, dependencyParameter = 0.2)

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