rcopula.gauss {QRMlib}R Documentation

Gauss Copula Simulation

Description

generates a random sample from the Gaussian copula

Usage

rcopula.gauss(n, Sigma=equicorr(d, rho), d=2, rho=0.7)

Arguments

n number of observations
Sigma correlation matrix
d dimension of copula
rho correlation parameter for specifying an equicorrelation structure

Details

This function is set up to allow quick simulation of Gauss copulas with an equicorrelation structure. Simply enter a value for the dimension d and the correlation parameter rho. For more general correlation matrices specify Sigma.

Value

a matrix with n rows and d columns

See Also

rAC, rcopula.gumbel, rcopula.clayton, rcopula.frank, rcopula.t

Examples

data <- rcopula.gauss(2000,d=6,rho=0.7); 
pairs(data); 

[Package QRMlib version 1.4.4 Index]