VoseCopulaBiFrank | Vose Software

# VoseCopulaBiFrank

{=VoseCopulaBiFrank(Theta, direction)}

Example model

Array function that returns random variables from a bivariate Frank copula.

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

• Direction - optional parameter that sets the direction of the parameter: can take values 1 (default) or 2.

The output is an array of two cells, with randomly generated copula values between [0,1]. Link the U-parameter of distribution functions to these to generate values of these distributions correlated by this copula.

The optional direction parameter changes the direction of the copula. This can take values 1 or 2: 1 (default) means no rotation, 2 means the copula is rotated over 90°.

For the multivariate version of this copula see VoseCopulaMultiFrank.

##### Example: correlating variables with a bivariate Frank copula

So for example, to generate a normal(0,1) and a beta(2,1) value correlated by a Frank(10) copula, you would do the following:

• Select the A1 and B1 spreadsheet cells.

• Type =VoseCopulaBiFrank(10) in the Excel formula bar and press CTRL+SHIFT+ENTER - Excel now inserts this as an array function over the two selected cells, indicated by curly brackets.

• Insert =VoseNormal(0,1,A1) in the cell A2, and =VoseBeta(2,1, B1) in the cell B2. The cell references are U parameters that refer to the copula values generated in the first cell.

• Now the A2 and B2 cell contain random values correlated by the Frank(10) copula.

##### VoseFunctions for this copula

VoseCopulaBiFrank generates values from this copula.

VoseCopulaBiFrankFit fits this copula to data.

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