rcopula.AGumbel {QRMlib}R Documentation

Generate Asymmetric Gumbel Copula

Description

generates sample from asymmetric Gumbel copula

Usage

rcopula.AGumbel(n, theta, alpha=rep(1, d), d=2)

Arguments

n sample size
theta scalar parameter of an exchangeable Gumbel copula
alpha vector of length d containing parameters of asymmetry
d dimension of copula

Details

see pages 224-226 of QRM for bivariate example of this copula; the idea obviously carries over to higher dimensions

Value

a matrix of dimension n times d where rows are realizations

See Also

rAC, rcopula.Gumbel2Gp, rcopula.GumbelNested

Examples

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]);

[Package QRMlib version 1.4 Index]