| 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