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2013 May 03
0
Empirica Copula
...mulation. As
explained in package documentation we can use our own data distribution to
feed on copula as long as we have d, p and q (pdf, cdf and quantile)
functions are available. Hence my code for those are:
# Make the functions for data distribution
dSAR<-function(SAR){dexp(SAR, rate=0.5)}
pSAR<-function(SAR){pexp(SAR, rate=0.5)}
qSAR<-function(SAR){qexp(c(seq(0,1, .01)),SAR, rate=0.5)}
dper<-function(per) {dexp(per,rate=0.5)}
pper<-function(per){pexp(per,rate=0.5)}
qper<-function(per){qexp(c(seq(0,1,.01)),per, rate=0.5)}
gmb<-gumbelCopula(3,dim=2) # create bivariate...