rcopula.gauss {QRMlib} | R Documentation |
generates a random sample from the Gaussian copula
rcopula.gauss(n, Sigma=equicorr(d, rho), d=2, rho=0.7)
n |
number of observations |
Sigma |
correlation matrix |
d |
dimension of copula |
rho |
correlation parameter for specifying an equicorrelation structure |
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.
a matrix with n rows and d columns
rAC
,
rcopula.gumbel
,
rcopula.clayton
,
rcopula.frank
,
rcopula.t
data <- rcopula.gauss(2000,d=6,rho=0.7); pairs(data);