rAC {QRMlib}R Documentation

Generate Archimedean Copula

Description

generates data from a multivariate Archimedean copula with arbitrary dimension using the mixture construction of Marshall and Olkin

Usage

rAC(name, n, d, theta)

Arguments

name name of the Archimedean copula from following list: clayton, gumbel, frank, BB9
n number of realizations
d dimension of copula
theta parameter(s) of copula

Details

this function may easily be augmented with further Archimedean copulas

Value

a matrix of dimension n times d where rows are realizations

See Also

rcopula.clayton, rcopula.frank, rcopula.gumbel, rcopula.gauss, rcopula.t

Examples

#simulate values from Archimedan copula of type gumbel
rAC("gumbel", n=3000, d=7,theta =3); 

[Package QRMlib version 1.4 Index]