rtcopulamix {QRMlib}R Documentation

Mixing Distribution on Unit Interval Yielding t Copula Model

Description

random generation for mixing distribution on unit interval yielding t copula model

Usage

rtcopulamix(n, pi, rho.asset, nu)

Arguments

n sample size
pi default probability
rho.asset asset correlation parameter
nu degree of freedom parameter

Details

see page 361 in QRM; we consider exchangeable case of this model

Value

random values on unit interval

See Also

rbeta, rclaytonmix, rlogitnorm, rprobitnorm

Examples

#set number, mean, and variance:
num <- 1000;
pi <- 0.9;
rho = 0.5;
df <- 4;
simVals <- rtcopulamix(num,pi,rho,df);

[Package QRMlib version 1.4.4 Index]