Bivariate Eyraud-Farlie-Gumbel-Morgenstern (EFGM) Copula

Source: R/bivariateEFGMCopula.R

Computes CDF, PDF and simulations of the EFGM copula.

cBivariateEFGM(u1, u2, dependencyParameter)

cdBivariateEFGM(u1, u2, dependencyParameter)

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

Arguments

u1, u2

points at which to evaluate the copula.

dependencyParameter

correlation parameter.

numberSimulations

Number of simulations.

seed

Simulation seed, 42 by default.

Value

Function :

  • cBivariateEFGM returns the value of the copula.

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

  • crBivariateEFGM returns simulated values of the copula.

Details

The EFGM copula has CDF :

Examples

cBivariateEFGM(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)
#> [1] 0.3215104

cdBivariateEFGM(u1 = .76, u2 = 0.4, dependencyParameter = 0.4)
#> [1] 0.9584

crBivariateEFGM(numberSimulations = 10, seed = 42, dependencyParameter = 0.2)
#>            [,1]      [,2]
#>  [1,] 0.9148060 0.4992223
#>  [2,] 0.9370754 0.7517403
#>  [3,] 0.2861395 0.9290322
#>  [4,] 0.8304476 0.2822036
#>  [5,] 0.6417455 0.4764359
#>  [6,] 0.5190959 0.9404424
#>  [7,] 0.7365883 0.9800745
#>  [8,] 0.1346666 0.1038836
#>  [9,] 0.6569923 0.4906909
#> [10,] 0.7050648 0.5803102