Bivariate Gumbel Copula Density

dcopula.gumbel {QRMlib}

R Documentation

Bivariate Gumbel Copula Density

Description

evaluates density of bivariate Gumbel copula

Usage

dcopula.gumbel(u, theta, logvalue=FALSE)

Arguments

u	matrix of dimension n times 2, where 2 is the dimension of the copula and n is the number of vector values at which to evaluate density
theta	parameter of Gumbel copula
logvalue	whether or not log density values should be returned (useful for ML)

Details

see page 192 of QRM for Gumbel copula

Value

vector of density values of length n

See Also

fit.Archcopula2d, dcopula.clayton, dcopula.t, dcopula.gauss

Examples

## Not run: 
#define a function:
normal.metagumbel <- function(x,theta)
{
  exp(dcopula.gumbel(apply(x,2,pnorm),theta,logvalue=TRUE) + 
  apply(log(apply(x,2,dnorm)),1,sum));
}
#use function to create perspective plot for bivariate density: 
BiDensPlot(normal.metagumbel,xpts=ll,ypts=ll,npts=80,theta=2);
## End(Not run)

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[Package QRMlib version 1.4 Index]