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 in advance. Horace W. Tso ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
