Bivariate Clayton Copula

Computes CDF, PDF and simulations of the bivariate Clayton copula.

cBivariateClayton(u1, u2, dependencyParameter, ...)

cdBivariateClayton(u1, u2, dependencyParameter, ...)

crBivariateClayton(numberSimulations = 10000, seed = 42, dependencyParameter)

Arguments

u1, u2	points at which to evaluate the copula.
dependencyParameter	correlation parameter.
...	other parameters.
numberSimulations	Number of simulations.
seed	Simulation seed, 42 by default.

Value

Function :

• cBivariateAMH returns the value of the copula.

• cdBivariateAMH returns the value of the density function associated to the copula.

Details

The bivariate Clayton copula has CDF :

Examples

cBivariateClayton(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)
#> [1] 0.3296668

cdBivariateClayton(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)
#> [1] 1.006098

crBivariateClayton(numberSimulations = 10, seed = 42, dependencyParameter = 0.2)
#>             [,1]       [,2]
#>  [1,] 0.14701481 0.14701481
#>  [2,] 0.29416640 0.29416640
#>  [3,] 0.58099108 0.58099108
#>  [4,] 0.19221089 0.19221089
#>  [5,] 0.45796113 0.45796113
#>  [6,] 0.63193910 0.63193910
#>  [7,] 0.23954954 0.23954954
#>  [8,] 0.87807505 0.87807505
#>  [9,] 0.41591742 0.41591742
#> [10,] 0.31545597 0.31545597
#> [11,] 0.57732827 0.57732827
#> [12,] 0.54930519 0.54930519
#> [13,] 0.03748024 0.03748024
#> [14,] 0.73007880 0.73007880
#> [15,] 0.61480878 0.61480878
#> [16,] 0.20759175 0.20759175
#> [17,] 0.03555246 0.03555246
#> [18,] 0.89355365 0.89355365
#> [19,] 0.57898211 0.57898211
#> [20,] 0.44711278 0.44711278