Distributacalcul (version 0.4.0)

bivariateGumbel: Bivariate Gumbel Copula

Description

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

Usage

cBivariateGumbel(u1, u2, dependencyParameter, ...)
cdBivariateGumbel(u1, u2, dependencyParameter, ...)
crBivariateGumbel(numberSimulations = 10000, seed = 42, dependencyParameter)

Value

Function :

• cBivariateGumbel returns the value of the copula.

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

• crBivariateGumbel 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 Gumbel copula has CDF :

Examples

cBivariateGumbel(u1 = .76, u2 = 0.4, dependencyParameter = 1.4)

cdBivariateGumbel(u1 = .76, u2 = 0.4, dependencyParameter = 1.4)

crBivariateGumbel(numberSimulations = 10, seed = 42, dependencyParameter = 1.2)