| Library: | VaR |
| See also: | VaRcopula copulalike clayton frank AMH gumbel gumbelII galambos |
| Quantlet: | FGM | |
| Description: | calculates the density function of a Farlie-Gumbel-Morgenstern copula. |
| Usage: | t = FGM(uv,theta) | |
| Input: | ||
| uv | n x 2 vector, data | |
| theta | scalar, theta parameter | |
| Output: | ||
| t | n x 1 vector, density function | |
library("VaR")
g=read("multidata2.dat")
g1=g[1:10,1:2]
t=FGM(g1,0.05)
t
Value of density function. Contents of t [ 1,] 3.1045 [ 2,] 3.0531 [ 3,] 3.0456 [ 4,] 3.08 [ 5,] 3.0973 [ 6,] 3.1137 [ 7,] 3.1232 [ 8,] 3.2898 [ 9,] 3.2099 [10,] 3.2411