XploRe Help : clayton

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	VaR
See also:	VaRcopula copulalike frank AMH FGM gumbel gumbelII galambos

Quantlet:		clayton
Description:		calculates the density function of a Clayton copula.

Reference(s):

Nelsen R. (1999): "An introduction to copulas"

Usage:	`t = clayton(uv,theta)`
Input:
	`uv`	n x 2 vector, data
	`theta`	scalar, theta parameter
Output:
	`t`	n x 1 vector, density function

Example:

library("VaR") g=read("multidata2.dat") g1=g[1:10,1:2] t=clayton(g1,0.05) t

Result:

Value of density function.

     Contents of t
     [ 1,]   1.3274
     [ 2,]   1.3237
     [ 3,]   1.3232
     [ 4,]   1.3257
     [ 5,]   1.3269
     [ 6,]   1.3281
     [ 7,]   1.3288
     [ 8,]   1.3403
     [ 9,]   1.3348
     [10,]   1.337

Author: K.Jajuga, D.Papla, 20031101 license MD*Tech