frechet.Rd
Computes CDF and simulations of the Fréchet copula.
cFrechet(u1, u2, dependencyParameter, ...) crFrechet(numberSimulations = 10000, seed = 42, dependencyParameter)
u1, u2 | points at which to evaluate the copula. |
---|---|
dependencyParameter | correlation parameters, must be vector of length 2. |
... | other parameters. |
numberSimulations | Number of simulations. |
seed | Simulation seed, 42 by default. |
Function :
cFrechet
returns the value of the copula.
crFrechet
returns simulated values of the copula.
The Fréchet copula has CDF : $$C(u_{1}, u_{2}) = (1 - \alpha - \beta)(u_{1} \times u_{2}) + \alpha\min(u_{1}, u_{2})% + \beta\max(u_{1} + u_{2} - 1, 0)$$ for \(u_{1}, u_{2}, \alpha, \beta \in [0, 1]\) and \(\alpha + \beta \leq 1\).
#> [1] 0.28#> [,1] [,2] #> [1,] 0.4577418 0.4577418 #> [2,] 0.0000000 0.0000000 #> [3,] 0.0000000 0.0000000 #> [4,] 0.8304476 0.1695524 #> [5,] 0.4622928 0.4622928 #> [6,] 0.9400145 0.9400145 #> [7,] 0.7365883 0.2634117 #> [8,] 0.0000000 0.0000000 #> [9,] 0.0000000 0.0000000 #> [10,] 0.0000000 0.0000000