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copBasic (version 1.6.0)

P: The Product (Independence) Copula

Description

Compute the product copula (Nelson, 2006, p. 12), which is defined as $$\mathbf{\Pi}(u,v) = uv\mbox{.}$$ This is the copula of statistical independence between $U$ and $V$ and is sometimes referred to as the independence copula.

Usage

P(u, v, ...)

Arguments

u
Nonexceedance probability $u$ in the $X$ direction;
v
Nonexceedance probability $v$ in the $Y$ direction; and
...
Additional arguments to pass.

Value

  • The value for the copula is returned.

concept

  • independence copula
  • product copula

References

Nelson, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.

See Also

M, W

Examples

Run this code
P(0.4,0.6)
P(0,0)
P(1,1)

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