Computes CDF and simulations of the Fréchet upper bound copula.

cFrechetUpperBound(u1, u2, ...)

crFrechetUpperBound(numberSimulations = 10000, seed = 42)

Arguments

u1, u2

points at which to evaluate the copula.

...

other parameters.

numberSimulations

Number of simulations.

seed

Simulation seed, 42 by default.

Value

Function :

  • cFrechetUpperBound returns the value of the copula.

  • crFrechetUpperBound returns simulated values of the copula.

Details

The Fréchet upper bound copula has CDF : $$C(u_{1}, u_{2}) = \min(u_{1}, u_{2})$$ for \(u_{1}, u_{2} \in [0, 1]\).

Examples

cFrechetUpperBound(u1 = .56, u2 = 0.4)
#> [1] 0.4
crFrechetUpperBound(numberSimulations = 10, seed = 42)
#> [,1] [,2] #> [1,] 0.9148060 0.9148060 #> [2,] 0.9370754 0.9370754 #> [3,] 0.2861395 0.2861395 #> [4,] 0.8304476 0.8304476 #> [5,] 0.6417455 0.6417455 #> [6,] 0.5190959 0.5190959 #> [7,] 0.7365883 0.7365883 #> [8,] 0.1346666 0.1346666 #> [9,] 0.6569923 0.6569923 #> [10,] 0.7050648 0.7050648