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Summary

Description
English: An example of the bivariate Gaussian (normal), Student-t, Gumbel, and Clayton copulæ
Date
Source Own work
Author Avraham
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Source code

library(copula)
n.cop <- normalCopula(0.5, 2)
t.cop <- tCopula(0.5, 2, df = 1)
g.cop <- gumbelCopula(4, dim = 2)
clayton.cop <- claytonCopula(5, dim = 2)
png('FourCorrelations.png', type = 'cairo', width = 800, height = 800, pointsize = 16)
par(mfrow=c(2,2))
n <- 5e3
plot(rCopula(n, n.cop), pch = 20, main = '', sub = expression("Bivariate Gaussian copula with" ~ rho ~ "= 0.5"), xlab = '', ylab = '')
plot(rCopula(n, t.cop), pch = 20, main = '', sub = expression("Bivariate Student-t copula with" ~ rho ~ "= 0.5 and dof = 1"), xlab = '', ylab = '')
plot(rCopula(n, g.cop), pch = 20, main = '', sub = expression("Bivariate Gumbel copula with" ~ alpha ~ "= 4"), xlab = '', ylab = '')
plot(rCopula(n, clayton.cop), pch = 20, main = '', sub = expression("Bivariate Clayton copula with" ~ alpha ~ "= 5"), xlab = '', ylab = '')
dev.off()

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29 January 2015

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Date/TimeThumbnailDimensionsUserComment
current01:39, 30 January 2015Thumbnail for version as of 01:39, 30 January 2015800 × 800 (92 KB)AvrahamBetter for screen display, I believe.
01:30, 30 January 2015Thumbnail for version as of 01:30, 30 January 20151,920 × 1,080 (130 KB)AvrahamUser created page with UploadWizard
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