rAC {QRMlib} | R Documentation |
generates data from a multivariate Archimedean copula with arbitrary dimension using the mixture construction of Marshall and Olkin
rAC(name, n, d, theta)
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 |
this function may easily be augmented with further Archimedean copulas
a matrix of dimension n times d where rows are realizations
rcopula.clayton
,
rcopula.frank
,
rcopula.gumbel
,
rcopula.gauss
,
rcopula.t
#simulate values from Archimedan copula of type gumbel rAC("gumbel", n=3000, d=7,theta =3);