Bivariate copula densities — CopulaDens • rmorie

Bivariate copula densities

Usage

CopulaDens(
  u,
  v,
  family = c("gaussian", "t", "clayton", "gumbel", "frank", "joe", "bb1"),
  theta = 0.5,
  df = 4,
  delta = 1.5
)

Arguments

u, v: Points in (0, 1).
family: "gaussian", "t", "clayton", "gumbel", "frank", "joe" or "bb1" (Joe 2014, sec 4.17; delta = 1 is Clayton, theta to 0 is Gumbel(delta)).
theta: Copula parameter.
df: Degrees of freedom for the t copula.
delta: Second BB1 parameter, delta >= 1.

Value

list(density, logdensity).

References

Joe, H. (2014). Dependence Modeling with Copulas, ch. 4.

Examples

CopulaDens(0.3, 0.7, "frank", 3)$density
#> [1] 0.7695371