rstable {QRMlib} | R Documentation |
random sample from stable distribution
rstable(n, alpha, beta=1)
n |
sample size |
alpha |
scalar parameter strictly larger than 0 and smaller than 2 (but avoid alpha=1) |
beta |
scalar parameter between -1 and 1 |
see pages 224 and 498 of QRM; default value beta=1 combined with an alpha value less than 1 gives positive stable distribution which we require for Gumbel copula generation; the case alpha=1 has not been implemented
sample of size n
Forthcoming John Nolan Book; see Definition 1.8 and Theorem 1.19
## Not run: #Use rstable() method in copula simulation function rcopula.Gumbel2Gp <- function(n = 1000, gpsizes =c(2,2), theta =c(2,3,5)) { Y <- rstable(n,1/theta[1])*(cos(pi/(2*theta[1])))^theta[1]; innerU1 <- rcopula.gumbel(n,theta[2]/theta[1],gpsizes[1]); innerU2 <- rcopula.gumbel(n,theta[3]/theta[1],gpsizes[2]); U <- cbind(innerU1,innerU2); Y <- matrix(Y, nrow = n, ncol = sum(gpsizes)); out <- exp( - ( - log(U)/Y)^(1/theta[1])); return(out); } ## End(Not run)