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##### https://github.com/cran/nacopula
Revision 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00:00 UTC, committed by Gabor Csardi on 06 February 2012, 00:00:00 UTC
1 parent 5bc804b
Tip revision: 161411b
dnacopula.Rd
\name{dnacopula}
\alias{dnacopula}
\title{Copula Density Evaluation}
\description{
Evaluates the density of an Archimedean copula.
}
\usage{
dnacopula(x, u, log=FALSE, \dots)
}
\arguments{
\item{x}{an object of class \code{"\linkS4class{outer_nacopula}"}.}
\item{u}{argument of the copula x.  Note that u can be a matrix in which case
the density is computed for each row of the matrix and the vector of
values is returned.}
\item{log}{logical indicating if the \code{\link{log}} of the density
should be returned.}
\item{\dots}{
optional arguments passed to the copula's \code{dacopula}
function (slot), such as \code{n.MC} (non-negative integer) for
possible Monte Carlo evaluation (see \code{dacopula} in
}
\details{
If it exists, the density of an Archimedean copula \eqn{C} with
generator \eqn{\psi}{psi} at \eqn{\bm{u}\in(0,1)^d}{u in (0,1)} is given by
\deqn{c(\bm{u})=\psi^{(d)}(\psi^{-1}(u_1)+\dots+\psi^{-1}(u_d))\prod_{j=1}^d(\psi^{-1}(u_j))^\prime
= \frac{\psi^{(d)}(\psi^{-1}(u_1)+\dots+\psi^{-1}(u_d))}{
\prod_{j=1}^d\psi^\prime(\psi^{-1}(u_j))}.
}{c(u) = psi^{(d)}(psi^{-1}(u_1)+...+psi^{-1}(u_d)) prod(j=1..d) (psi^{-1}(u_j))'
= psi^{(d)}(psi^{-1}(u_1)+...+psi^{-1}(u_d)) /
(psi'(psi^{-1}(u_1))*...*psi'(psi^{-1}(u_d))).}
}
\value{
A \code{\link{numeric}} vector containing the values of the density of the
Archimedean copula at \code{u}.
}
\author{Marius Hofert, Martin Maechler}
\references{
Hofert, M., \enc{Mächler}{Maechler}, M., and McNeil, A. J. (2011a),
Estimators for Archimedean copulas in high dimensions: A comparison,
to be submitted.

Hofert, M., \enc{Mächler}{Maechler}, M., and McNeil, A. J. (2011b),
Likelihood inference for Archimedean copulas,
submitted.
}
\seealso{
For more details about the derivatives of an Archimedean generator,
see, for example, \code{psiDabs} in class \code{\linkS4class{acopula}}.
}
\examples{
## Construct a twenty-dimensional Gumbel copula with parameter chosen
## such that Kendall's tau of the bivariate margins is 0.25.
theta <- copJoe@tauInv(.25)
C20 <- onacopula("J", C(theta, 1:20))

## Evaluate the copula density at the point u = (0.5,...,0.5)
u <- rep(0.5, 20)
dnacopula(C20, u)

## the same with Monte Carlo based on 10000 simulated "frailties"
dnacopula(C20, u, n.MC = 10000)

## Evaluate the exact log-density at several points
u <- matrix(runif(100), ncol=20)
dnacopula(C20, u, log = TRUE)
}
\keyword{distribution} Computing file changes ...