VoseCopulaMultiGumbel

Download a pdf copy of this help file  here

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

{=VoseCopulaMultiGumbel(theta)}

The Multivariate Copula window

Example model

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

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

The output is an nx1 or 1xn array of with 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.

For the bivariate version of this copula, see VoseCopulaBiGumbel.

VoseFunctions for this copula

VoseCopulaMultiGumbel generates values from this distribution or calculates a percentile.

VoseCopulaMultiGumbelFit fits this copula to data.

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