[R] Gamma Copula

From: Peter Stueckler <pstueckl_at_edu.uni-klu.ac.at>
Date: Wed, 09 Jun 2010 23:09:45 +0200


Hello R-Team,

I am trying to construct a Copula from a multivariate Gamma distribution with its marginals gamma-distributed. The multivariate Gamma should be able to contain a correlation coeficient or matrix.

I have studied the book "Continuous Multivariate Distributions vol.I Models and applications" by Johnson & Kotz & Balakrishnan but what I constructed doesn't really look like a Copula.

So my question is: Can such a Copula exist? And if yes, are ther R-packages which could help?

Yours truly

Peter



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