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, GIG. Names are case-sensitive.
n number of realizations
d dimension of copula
theta parameter(s) of copula

Details

this function may easily be augmented with further Archimedean copulas. It may be used in place of the older functions rcopula.clayton(), rcopula.gumbel(), and rcopula.frank(). In addition, it allows simulation of BB9 and GIG copulas which don't have individual simulation routines. Be very careful because the name argument is case-sensitive.

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 1.4.4 Index]