RosenblattClayton {HMMcopula}R Documentation

Rosenblatt transform for Clayton copula

Description

Computation of the Rosenblatt transform fot Clayton's copula

Usage

RosenblattClayton(u, theta)

Arguments

u

(n x d) matrix of pseudos-observations (normalized ranks)

theta

parameter of the Clayton copula

Value

R

Rosenblatt transform


[Package HMMcopula version 1.1.0 Index]