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