VoseCopulaMultiClayton

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See also: Copulas in ModelRisk, Bivariate Copula window, Vose Multivariate Copula, Archimedean copulas - Clayton Frank and Gumbel

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MR_window_Multivariate_Copula_1.jpg
The Multivariate Copula window

1Excel_icon.gif Example model

Array function that returns random variables from a multivariate Clayton copula.

Alpha - Correlation parameter. Can range from -35 (maximum negative correlation) over 0 (no correlation) to 36 (maximum positive correlation)

The output is a 1xn or nx1 array of randomly generated copula values between [0,1],with n being the number of variables to be correlated. Link the U-parameter of distribution functions to these to generate values of these distributions correlated by this copula.

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For the bivariate version of this copula, see VoseCopulaBiClayton.

VoseFunctions for this copula

VoseCopulaMultiClayton generates values from this distribution or calculates a percentile.

VoseCopulaMultiClaytonFit fits this copula to data.

VoseCopulaMultiClaytonFitP returns the parameter(s) of this copula fitted to data.