FactorCopulaModel (version 0.1.1)

bb1_td2cpar: BB1 tail dependence parameters to copula parameter (theta,delta)

Description

BB1 map (lower,upper) tail dependence to copula parameter vector

Usage

bb1_td2cpar(taildep)

Value

matrix of copula parameters, by row (theta,delta), theta>0, delta>1

Arguments

taildep

tail dependence parameter in mx2 matrix, by row (ltd,utd) in (0,1)^2

Examples

cpar = bb1_td2cpar(c(0.4,0.6))
print(cpar)
#         theta    delta
#[1,] 0.3672112 2.060043
print(bb1_cpar2td(cpar))