rcopula.AGumbel {QRMlib} | R Documentation |
generates sample from asymmetric Gumbel copula
rcopula.AGumbel(n, theta, alpha=rep(1, d), d=2)
n |
sample size |
theta |
scalar parameter of an exchangeable Gumbel copula |
alpha |
vector of length d containing parameters of asymmetry |
d |
dimension of copula |
see pages 224-226 of QRM for bivariate example of this copula; the idea obviously carries over to higher dimensions
a matrix of dimension n times d where rows are realizations
rAC
,
rcopula.Gumbel2Gp
,
rcopula.GumbelNested
data.AGumbel <- rcopula.AGumbel(10000,theta=4, alpha=c(0.95,0.7)); plot(data.AGumbel); data.AGumbel <- rcopula.AGumbel(5000,theta=2, c(0.1,0.7,0.8,0.9)); pairs(data.AGumbel); hist(data.AGumbel[,4]);