Distributacalcul (version 0.4.0)

frechetLowerBound: Fréchet Lower Bound Copula

Description

Computes CDF and simulations of the Fréchet lower bound copula.

Usage

cFrechetLowerBound(u1, u2, ...)
crFrechetLowerBound(numberSimulations = 10000, seed = 42)

Value

Function :

• cFrechetLowerBound returns the value of the copula.

• crFrechetLowerBound returns simulated values of the copula.

Arguments

u1, u2

points at which to evaluate the copula.

...

other parameters.

numberSimulations

Number of simulations.

seed

Simulation seed, 42 by default.

Details

The Fréchet lower bound copula has CDF : $$C(u_{1}, u_{2}) = \max(u_{1} + u_{2} - 1, 0)$$ for \(u_{1}, u_{2} \in [0, 1]\).

Examples

cFrechetLowerBound(u1 = .76, u2 = 0.4)

crFrechetLowerBound(numberSimulations = 10, seed = 42)