rcopula.Gumbel2Gp {QRMlib} | R Documentation |
generates sample from a Gumbel copula with two-group structure constructed using three Gumbel generators
rcopula.Gumbel2Gp(n=1000, gpsizes=c(2, 2), theta=c(2, 3, 5))
n |
sample size |
gpsizes |
vector of length two containing sizes of the groups |
theta |
parameter vector of length 3 giving parameters of the three Gumbel generators |
see page 227 of QRM for an example of construction
matrix of dimension n by sum(gpsizes) where rows are realizations
data <- rcopula.Gumbel2Gp(n=3000,gpsizes=c(3,4), theta=c(2,3,5)); pairs(data);