rtcopulamix {QRMlib} | R Documentation |
random generation for mixing distribution on unit interval yielding t copula model
rtcopulamix(n, pi, rho.asset, nu)
n |
sample size |
pi |
default probability |
rho.asset |
asset correlation parameter |
nu |
degree of freedom parameter |
see page 361 in QRM; we consider exchangeable case of this model
random values on unit interval
rbeta
,
rclaytonmix
,
rlogitnorm
,
rprobitnorm
#set number, mean, and variance: num <- 1000; pi <- 0.9; rho = 0.5; df <- 4; simVals <- rtcopulamix(num,pi,rho,df);