Distributacalcul (version 0.4.0)

bivariateFrank: Bivariate Frank Copula

Description

Computes CDF, PDF and simulations of the bivariate Frank copula.

Usage

cBivariateFrank(u1, u2, dependencyParameter, ...)
cdBivariateFrank(u1, u2, dependencyParameter, ...)
crBivariateFrank(numberSimulations = 10000, seed = 42, dependencyParameter)

Value

Function :

• cBivariateFrank returns the value of the copula.

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

• crBivariateFrank returns simulated values of the copula.

Arguments

u1, u2

points at which to evaluate the copula.

dependencyParameter

correlation parameter.

...

other parameters.

numberSimulations

Number of simulations.

seed

Simulation seed, 42 by default.

Details

The bivariate Frank copula has CDF :

Examples

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

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

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