% -*- texinfo -*- % @deftypefn {Function File} {@var{p} =} copulacdf (@var{family}, @var{x}, @var{theta}) % @deftypefnx {Function File} {} copulacdf ('t', @var{x}, @var{theta}, @var{nu}) % Compute the cumulative distribution function of a copula family. % % @subheading Arguments % % @itemize @bullet % @item % @var{family} is the copula family name. Currently, @var{family} can % be @code{'Gaussian'} for the Gaussian family, @code{'t'} for the % Student's t family, @code{'Clayton'} for the Clayton family, % @code{'Gumbel'} for the Gumbel-Hougaard family, @code{'Frank'} for % the Frank family, @code{'AMH'} for the Ali-Mikhail-Haq family, or % @code{'FGM'} for the Farlie-Gumbel-Morgenstern family. % % @item % @var{x} is the support where each row corresponds to an observation. % % @item % @var{theta} is the parameter of the copula. For the Gaussian and % Student's t copula, @var{theta} must be a correlation matrix. For % bivariate copulas @var{theta} can also be a correlation coefficient. % For the Clayton family, the Gumbel-Hougaard family, the Frank family, % and the Ali-Mikhail-Haq family, @var{theta} must be a vector with the % same number of elements as observations in @var{x} or be scalar. For % the Farlie-Gumbel-Morgenstern family, @var{theta} must be a matrix of % coefficients for the Farlie-Gumbel-Morgenstern polynomial where each % row corresponds to one set of coefficients for an observation in % @var{x}. A single row is expanded. The coefficients are in binary % order. % % @item % @var{nu} is the degrees of freedom for the Student's t family. % @var{nu} must be a vector with the same number of elements as % observations in @var{x} or be scalar. % @end itemize % % @subheading Return values % % @itemize @bullet % @item % @var{p} is the cumulative distribution of the copula at each row of % @var{x} and corresponding parameter @var{theta}. % @end itemize % % @subheading Examples % % @example % @group % x = [0.2:0.2:0.6; 0.2:0.2:0.6]; % theta = [1; 2]; % p = copulacdf ('Clayton', x, theta) % @end group % % @group % x = [0.2:0.2:0.6; 0.2:0.1:0.4]; % theta = [0.2, 0.1, 0.1, 0.05]; % p = copulacdf ('FGM', x, theta) % @end group % @end example % % @subheading References % % @enumerate % @item % Roger B. Nelsen. @cite{An Introduction to Copulas}. Springer, % New York, second edition, 2006. % @end enumerate % @end deftypefn