Clayton Copula (Bivariate) Distribution
Density and random generation for the (one parameter) bivariate Clayton copula distribution.
dbiclaytoncop(x1, x2, apar = 0, log = FALSE) rbiclaytoncop(n, apar = 0)
x1, x2 |
vector of quantiles.
The |
n |
number of observations.
Same as |
apar |
the association parameter. Should be in the interval [0, Inf). The default corresponds to independence. |
log |
Logical.
If |
See biclaytoncop, the VGAM
family functions for estimating the
parameter by maximum likelihood estimation,
for the formula of the
cumulative distribution function and other details.
dbiclaytoncop gives the density at point (x1,x2),
rbiclaytoncop generates random deviates (a two-column matrix).
dbiclaytoncop() does not yet handle
x1 = 0 and/or x2 = 0.
R. Feyter and T. W. Yee
Clayton, D. (1982). A model for association in bivariate survival data. Journal of the Royal Statistical Society, Series B, Methodological, 44, 414–422.
## Not run: edge <- 0.01 # A small positive value N <- 101; x <- seq(edge, 1.0 - edge, len = N); Rho <- 0.7 ox <- expand.grid(x, x) zedd <- dbiclaytoncop(ox[, 1], ox[, 2], apar = Rho, log = TRUE) par(mfrow = c(1, 2)) contour(x, x, matrix(zedd, N, N), col = "blue", labcex = 1.5, las = 1) plot(rbiclaytoncop(1000, 2), col = "blue", las = 1) ## End(Not run)
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