[R] Gamma Copula

Peter Stueckler pstueckl at edu.uni-klu.ac.at
Wed Jun 9 23:09:45 CEST 2010


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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