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rstatisticscopula

Copula contour plot

I am trying to get some nice contour plots of various Copulas with Gaussian marginals, but somehow I do not at all get what I would expect - what am I doing wrong ?

My R code:

library(copula)
library(mvtnorm)

#Gaussian Density & distribution
G_copula = norm.cop <- normalCopula(0.70)
cp <- contour(G_copula, dCopula, n=200, nlevels=20, delta=0.01)
persp(G_copula, dCopula)
contour(cp$x,cp$y,cp$z)
contour(qnorm(cp$x),qnorm(cp$y),cp$z)

What I would like to get is something like this enter image description here

But what I get is this enter image description here

Solution

  • If you want the contours plot of the copula with margins N(0,1) and N(0,1), one option is to "manually" define its density:

    library(copula)

cop <- normalCopula(0.7)

# density of the bivariate distribution with copula 'cop' and margins N(0,1), N(0,1)
f <- function(x, y) {
  dCopula(c(pnorm(x), pnorm(y)), cop) * dnorm(x) * dnorm(y)
}

    Then you can use the usual contour function.

    But it's easier to create this distribution with mvdc:

    library(copula)
mv <- mvdc(
  normalCopula(0.7), margins = c("norm", "norm"),
  paramMargins = list(list(mean = 0, sd = 1), list(mean = 0, sd = 1))
)

    Then you can directly call contour on this multivariate distribution:

    contour(mv, dMvdc, xlim = c(-3, 3), ylim = c(-3, 3), asp = 1)

    enter image description here