Creates an instance of the Gumbel copula with parameter r. This family is also known as the Gumbel--Hougaard copula or the logistic model.
NewMEVGumbelCopula(r = 2)A function that evaluates the Gumbel copula (with parameter r) at a given \(d\)-dimensional vector in the unit cube. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the Gumbel copula via automatic differentation.
real, the parameter of the Gumbel copula, defaults to 2, must be larger or equal to one.
Berwin A. Turlach berwin.turlach@gmail.com
The following parameterisation of the copula is used: $$C(u_1,\dots,u_d) = \exp\left(- \left\{ \sum_{j=1}^d \bar u_j^r \right\}^{1/r}\right)$$ where \(\bar u_j = -\log(u_j)\), \(j=1,\dots,d\).
NewMEVAsyLogisticCopula