Conversions between various bivariate copula parametrizations.

Source: R/ConvertPar.R

Conversions between various bivariate copula parametrizations.

BiCopEta2Par(family, eta, eta2 = 0)

BiCopPar2Eta(family, par, par2 = 0)

BiCopEta2Tau(family, eta, eta2 = 0)

BiCopTau2Eta(family, tau)

Arguments

family

An integer defining the bivariate copula family to use. See Details.

eta, eta2

Vector of parameters on the eta scale. See Details.

par, par2

Vector of parameters on the par scale.

tau

Vector of parameters on the tau scale.

Value

Vector of converted parameters.

Details

The copula family integer codes are identical to those of the VineCopula package. Currently, the following families are implemented:

1

Gaussian copula.

2

Student-t copula.

3

Clayton copula.

4

Gumbel copula.

5

Frank copula.

13

Clayton copula – rotated 180 degrees.

14

Gumbel copula – rotated 180 degrees.

23

Clayton copula – rotated 90 degrees.

24

Gumbel copula – rotated 90 degrees.

33

Clayton copula – rotated 270 degrees.

34

Gumbel copula – rotated 270 degrees.