copula (version 0.5-8)

fgmCopula: Construction of a fgmCopula Class Object

Description

Constructs a multivariate multi-parameter Farlie-Gumbel-Morgenstern copula (see Nelsen 1999, p 87) class object with its corresponding parameters and dimension.

Usage

fgmCopula(param, dim = 2)

Arguments

param

a numeric vector specifying the parameter values.

dim

the dimension of the copula.

...

currently nothing.

Value

• A Farlie-Gumbel-Morgenstern copula object of class "fgmCopula".

References

Nelsen (1999), An introduction to Copulas, Springer, New York.

See Also

Copula, copula-class.

Examples

## a bivariate example
fgm.cop <- fgmCopula(1)
x <-rcopula(fgm.cop, 1000)
cor(x,method="kendall")
kendallsTau(fgm.cop)
cor(x,method="spearman")
spearmansRho(fgm.cop)
persp(fgm.cop, dcopula)
contour(fgm.cop, dcopula)

## a trivariate example with wrong parameter values
## fgm2.cop <- fgmCopula(c(1,1,1,1), dim=3)

## a trivariate example with satisfactory parameter values
fgm2.cop <- fgmCopula(c(.2,-1,-0.3,1), dim=3)
fgm2.cop