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Computes CDF and simulations of the Fréchet copula.
cFrechet(u1, u2, dependencyParameter, ...)crFrechet(numberSimulations = 10000, seed = 42, dependencyParameter)
crFrechet(numberSimulations = 10000, seed = 42, dependencyParameter)
Function :
cFrechet returns the value of the copula.
cFrechet
crFrechet returns simulated values of the copula.
crFrechet
points at which to evaluate the copula.
correlation parameters, must be vector of length 2.
other parameters.
Number of simulations.
Simulation seed, 42 by default.
The Fréchet copula has CDF : $$C(u_{1}, u_{2}) = (1 - \alpha - \beta)(u_{1} \times u_{2}) + \alpha\min(u_{1}, u_{2})% + \beta\max(u_{1} + u_{2} - 1, 0)$$ for \(u_{1}, u_{2}, \alpha, \beta \in [0, 1]\) and \(\alpha + \beta \leq 1\).
cFrechet(u1 = .76, u2 = 0.4, dependencyParameter = c(0.2, 0.3)) crFrechet(numberSimulations = 10, seed = 42, dependencyParameter = c(0.2, 0.3))
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