dsfa (version 2.0.2)

delta_bounds: Bounds of Copula Parameter delta

Description

Provides the minimum and maximum of the parameter space for \(\delta\)

Usage

delta_bounds(distr)

Value

Returns numeric vector of length two with first argument being the minimum and the second argument being the maximum of the parameter space.

Arguments

distr

string, defines the copula family:
`independent` = Independence copula
`normal` = Gaussian copula
`clayton` = Clayton copula
`gumbel` = Gumbel copula
`frank` = Frank copula
`joe` = Joe copula
`amh` = Ali-Mikhail-Haq copula

Details

Although the parameter space is larger in theory for some copulas, numeric under- and overflow limits the parameter space. The parameter space of \(\delta\) is specified for each copula below:

• `independent`, min=0 and max=1

• `normal`, min=-1 and max=1

• `clayton`, min=1e-16 and max=28

• `gumbel`, min=1 and max=17

• `frank`, min=-35 and max=35

• `joe`, min=1e-16 and max=30

• `amh`, min=-1 and max=1

See Also

Other copula: cop(), dcop()

Examples

delta_bounds("normal")