[R] Modeling inverse relationship with copula
Horace.Tso at pgn.com
Mon Apr 24 20:35:26 CEST 2006
Dear r list,
I posted this on the S list last week since i'm using some of the
FinMetrics functions on copula. Knowing there is a copula package in R,
I figure this would be an appropriate forum to ask this question.
I want to model inverse relationship between two (non-normal,
non-symmetric) marginals with the gumbel copula, or with any copula.
Say, x is lognormal and y is norm. Since gumbel's delta must be greater
than one, how do I specify the equivalence of a negative correlation?
If both are symmetric, I think I could get away by using a positive
delta, simulate the bivariate realizations and then flipping the sign on
one of them. Or am I completely off.
I did search through the archive but found no related posting. Thanks
Horace W. Tso
More information about the R-help