RiskCopula

Description

RiskCopula(copula definition range,position,instance) identifies a distribution function of an input as being “attached” to a copula to allow multivariate correlation.  This function identifies a copula definition range, the position in the copula, and optionally a unique copula instance.

Copulas are typically defined through @RISK’s Define Copula command. However, the same type of correlation can be entered directly in a cell formula using the RiskCopula function.  The copula identified by the copula definition range is an array of cells whose format is different for each type of copula. 

The position argument is an integer from 1 to the number of distributions being correlated. For example, if position is 2, this indicates the second variable being correlated.

The instance argument is optional and is used when multiple groups of correlated inputs use the same copula. Instance is an integer or string argument, and all inputs in a correlated group of inputs share the same instance value or string.  If string arguments are used, they must be inside quotes.

See the Define Copula Command section of this manual for more detailed information about copulas.

Examples

RiskNormal(10,10, RiskCopula(MyCopula,1) specifies that the  Normal(10,10) distribution will be “attached” to position 1 of the copula called MyCopula.

Guidelines

None.