Library: | VaR |
See also: | VaRcopula copulalike frank AMH FGM gumbel gumbelII galambos |
Quantlet: | clayton | |
Description: | calculates the density function of a Clayton copula. |
Usage: | t = clayton(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=clayton(g1,0.05) t
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