Modelling Dependence with Copulas - IFOR

11.2 Examples
[1] 0.6886402
> cor(rank(copvals[,1]),rank(copvals[,3]))
[1] 0.6976064
> cor(rank(copvals[,1]),rank(copvals[,4]))
[1] 0.6984134
> cor(rank(copvals[,1]),rank(copvals[,5]))
[1] 0.7181849
>
> rnvals
> cor(rank(rnvals[,1]),rank(rnvals[,2]))
[1] 0.6886402
> cor(rank(rnvals[,1]),rank(rnvals[,3]))
[1] 0.6976064
> cor(rank(rnvals[,1]),rank(rnvals[,4]))
[1] 0.6984134
> cor(rank(rnvals[,1]),rank(rnvals[,5]))
[1] 0.7181849
> cor(rnvals)
res res res res res
res 1.0000000 0.6410928 0.6762915 0.5833469 0.6941502
res 0.6410928 1.0000001 0.6857604 0.6093035 0.6740947
res 0.6762915 0.6857604 1.0000000 0.6182865 0.7004315
res 0.5833469 0.6093035 0.6182865 1.0000001 0.6079597
res 0.6941502 0.6740947 0.7004315 0.6079597 1.0000001
>
> rnvals
> cor(rnvals)
res res res res res
res 1.0000000 0.6198149 0.5630721 0.5432518 0.5884659
res 0.6198149 1.0000000 0.5224883 0.5557166 0.5431907
res 0.5630721 0.5224883 1.0000000 0.6004927 0.5706847
res 0.5432518 0.5557166 0.6004927 1.0000001 0.6274458
res 0.5884659 0.5431907 0.5706847 0.6274458 1.0000000
>
> copvals
> cor(rank(copvals[,1]),rank(copvals[,2]))
[1] 0.7183862
> cor(rank(copvals[,1]),rank(copvals[,3]))
[1] 0.4746474
> cor(rank(copvals[,2]),rank(copvals[,3]))
[1] 0.4705604
>
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