VoseCopulaMultiClayton

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

{=VoseCopulaMultiClayton(alpha)}

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.

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.

 

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