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Frank copula constructor

cfrank.Rd

Returns a function computing the log density of the bivariate Frank copula, intended to be used with dcopula.

Usage

cfrank(theta)

Arguments

theta

Dependence parameter (\(\theta = 0\)).

Value

Function of two arguments (u,v) returning log copula density.

Details

The Frank copula density is $$ c(u,v;\theta) = \frac{\theta (1-e^{-\theta}) e^{-\theta(u+v)}} {\left[(e^{-\theta u}-1)(e^{-\theta v}-1) + (1 - e^{-\theta}) \right]^2}, \quad \theta \ne 0. $$

See also

cgaussian(), cclayton(), cgumbel()

Examples

x <- c(0.5, 1); y <- c(1, 2)
d1 <- dnorm(x, 1, log = TRUE); d2 <- dexp(y, 2, log = TRUE)
p1 <- pnorm(x, 1); p2 <- pexp(y, 2)
dcopula(d1, d2, p1, p2, copula = cfrank(2), log = TRUE)
#> [1] -2.705857 -4.370568