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Multidimensional Archimedean copula density

version 1.0.0.0 (3.41 KB) by Guzman
Computes the value of the PDF of some multidimensional Archimedean copulas

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Updated 09 Feb 2016

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Computes the density of some multidimensional Archimedean copulas (Gumbel, Frank, and Clayton). Based on:
Hofert, M., Mächler, M., & McNeil, A. J. (2012). doi:10.1016/j.jmva.2012.02.019.
Employed in:
Díaz, G. (2013). A note on the multivariate Archimedean dependence structure in small wind generation sites.
Wind Energy, 18(8), 1287–1295. doi:10.1002/we.1633

Cite As

Guzman (2021). Multidimensional Archimedean copula density (https://www.mathworks.com/matlabcentral/fileexchange/55310-multidimensional-archimedean-copula-density), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2014a
Compatible with any release
Platform Compatibility
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