rACp {QRMlib}R Documentation

Simulate a Generalized Archimedean Copula representing p factors

Description

Generate a sample from a generalized Archimedean copula.

Usage

rACp(n, d, theta, A, name = "gumbel")

Arguments

n sample size of copula to be generated
d dimension of the simulated copula
theta vector of parameters for each of p factors corresponding to underlying exchangeable copulas
A matrix with dimension d by p containing asymmetry parameters. Rows must sum to 1.
name name of underlying exchangeable Archimedean copula from following list: clayton, gumbel, frank, BB9, GIG. Names are case-sensitive.

Details

See pages 224-6 of QRM for a bivariate example of this copula. The idea carries naturally to higher dimensions.

Value

a matrix of dimension n times d where rows are realizations.

See Also

rAC, rcopula.Gumbel2Gp rcopula.GumbelNested

Examples

alpha <- c(0.95,0.7);
wtmatrix <- cbind(alpha, 1-alpha);
data <- rACp(1000,d=2, theta=c(4,1), A=wtmatrix, name="gumbel");

[Package QRMlib version 1.4.4 Index]