Hello,
 
I used the following codes to generate bivariate normal dependence structure with unit Frechet margins.  
  
  Sigma <- matrix(c(1,.5*sqrt(1),.5*sqrt(1),1),2,2) # generate 
  y <- mvrnorm(Nsam, c(0,0), Sigma) # random 
  v <- cbind(pnorm(y[,1],mean = 0, sd = 1), pnorm(y[,2],mean = 0, sd = 1))
  z <- cbind(-1/log(v[,1]),-1/log(v[,2]))
  z1 <- z[,1]
  z2 <- z[,2]
And to get the scatter plot by: 
  plot(z1,z2)
 
How can I get the contour densities plots for (z1,z2) at 10^(-j/2) for j=2,...,9?
 
Waiting for your reply!Many thanks!
 
Xiao
 
 
 
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