PairCopulaPDF

Computing the p.d.f. of a pair-copula

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Purpose

The function computes the value of the copula density at (u1,u2), which has to lie in the 2-dimensional unit cube. Possible pair-copula families:

       0   Indep
       1   AMH
       2   AsymFGM
       3   BB1
       4   BB6
       5   BB7
       6   BB8
       7   Clayton
       8   FGM
       9   Frank
       10  Gaussian
       11  Gumbel
       12  IteratedFGM
       13  Joe
       14  PartialFrank
       15  Plackett
       16  Tawn1
       17  Tawn2
       18  Tawn
       19  t

Usage

           p = PairCopulaPDF(family,u1,u2,theta)
       Rotated pair-copulas
           p = PairCopulaPDF(family,u1,u2,theta,rotation)

Inputs

   family    = The copula family.
   u1        = A (n x 1) dimensional vector of values lying in [0,1].
   u2        = A (n x 1) dimensional vector of values lying in [0,1].
   theta     = The parameter vector for the pair-copula.
   rotation  = The degree of rotation, i.e., either 90, 180 or 270. No
               rotation is achieved by letting the rotation argument
               empty or by choosing 0 rotation.

Outputs

  p          = n dimensional vector of values of the copula density
               evaluated at (u1,u2).