In this section we
show possible applications for the Gumbel-Hougaard copula,
i.e. for
.
First we try to visualize
in Figure
2.1.
In the next Figure 2.2 we show an example of copula sampling
for fixed parameters
,
,
for copulas
numbered 4, 5, 6, and 12, see Table 2.1.
In order to investigate
the connection between the Gaussian and Copula based dependency
structure we plot against correlation
in Figure
2.3. We assume that tmin and tmax hold the
minimum respectively maximum possible
values. Those can also be
obtained by tmin=
VaRcopula
(0,0,0,8,copula) and
tmax=
VaRcopula
(0,0,0,9,copula). Care has to be taken that the values are
finite, so we have set the maximum absolute
bound to
.