RosenblattGumbel {HMMcopula}R Documentation

Rosenblatt transform for Gumbel copula

Description

Computation of the Rosenblatt transform for Gumbel's copula

Usage

RosenblattGumbel(U, theta)

Arguments

U

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

theta

parameter of the Gumbel copula

Value

R

Rosenblatt transform


[Package HMMcopula version 1.1.0 Index]