copula (version 1.1-4)

fgmCopula: Construction of a fgmCopula Class Object

Description

Constructs a multivariate multiparameter Farlie-Gumbel-Morgenstern copula class object with its corresponding parameters and dimension.

Usage

fgmCopula(param, dim = 2)

Value

A Farlie-Gumbel-Morgenstern copula object of class

"fgmCopula".

Arguments

param

a numeric vector specifying the parameter values.

dim

the dimension of the copula.

References

Nelsen, R. B. (2006), An introduction to Copulas, Springer, New York.

See Also

Copula, copula-class, fitCopula.

Examples

## length(param) = #{parameters}  for  d-dimensional  FGM copula:
d <- 2:10; rbind(d, npar = 2^d - d - 1)
## d       2    3    4    5    6    7    8    9   10
## npar    1    4   11   26   57  120  247  502 1013

## a bivariate example
fgm.cop <- fgmCopula(1)
x <- rCopula(1000, fgm.cop)
cor(x, method = "kendall")
tau(fgm.cop)
cor(x, method = "spearman")
rho(fgm.cop)
persp  (fgm.cop, dCopula)
contour(fgm.cop, dCopula)

## a trivariate example with wrong parameter values
try(
 fgm2.cop <- fgmCopula(c(1,1,1,1), dim = 3)
) # Error: "Bad vector of parameters"

## a trivariate example with satisfactory parameter values
fgm2.cop <- fgmCopula(c(.2,-.2,-.4,.6), dim = 3)
fgm2.cop