copula: fgmCopula – R documentation

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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)

Arguments

`param`	a numeric vector specifying the parameter values.
`dim`	the dimension of the copula.

Value

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

Note

The verification of the validity of the parameter values is of high complexity and may not work for high dimensional copulas.

The random number generation needs to be properly tested, especially for dimensions higher than 2.

References

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

Examples

## 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

copula

Multivariate Dependence with Copulas

v1.0-1

GPL (>= 3) | file LICENCE

Authors

Marius Hofert [aut] (<https://orcid.org/0000-0001-8009-4665>), Ivan Kojadinovic [aut] (<https://orcid.org/0000-0002-2903-1543>), Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Jun Yan [aut] (<https://orcid.org/0000-0003-4401-7296>), Johanna G. Nešlehová [ctb] (evTestK(), <https://orcid.org/0000-0001-9634-4796>), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)

Initial release

2020-12-07