VineCopula (version 1.3)

BiCopPDF: Density of a bivariate copula

Description

This function evaluates the probability density function (PDF) of a given parametric bivariate copula.

Usage

BiCopPDF(u1, u2, family, par, par2=0)

Arguments

u1,u2

Numeric vectors of equal length with values in [0,1].

family

An integer defining the bivariate copula family: 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank

par

Copula parameter.

par2

Second parameter for the two parameter t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas (default: par2 = 0).

Value

• A numeric vector of the bivariate copula density evaluated at u1 and u2.

See Also

BiCopCDF, BiCopHfunc, BiCopSim

Examples

# simulate from a bivariate t-copula
simdata = BiCopSim(300,2,-0.7,par2=4)

# evaluate the density of the bivariate t-copula
u1 = simdata[,1]
u2 = simdata[,2]
BiCopPDF(u1,u2,2,-0.7,par2=4)