Library: | VaR |
See also: | VaRcopula copulalike clayton frank AMH FGM gumbelII galambos |
Quantlet: | gumbel | |
Description: | calculates the density function of a Gumbel Extreme Value Copula. |
Usage: | t = gumbel(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=gumbel(g1,10) t
Value of density function. Contents of t [ 1,] 0.025336 [ 2,] 0.026206 [ 3,] 0.026767 [ 4,] 0.027195 [ 5,] 0.026663 [ 6,] 0.02712 [ 7,] 0.027492 [ 8,] 0.022885 [ 9,] 0.02478 [10,] 0.024521