rcopula.t {QRMlib}R Documentation

t Copula Simulation

Description

generates a random sample from the t copula

Usage

rcopula.t(n, df, Sigma=equicorr(d, rho), d=2, rho=0.7)

Arguments

n number of observations
df degrees of freedom
Sigma correlation matrix
d dimension of copula
rho correlation parameter for specifying an equicorrelation structure

Details

This function is set up to allow quick simulation of t 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.

Value

a matrix with n rows and d columns

See Also

rAC, rcopula.gumbel, rcopula.clayton, rcopula.gauss, rcopula.frank

Examples

data <- rcopula.t(2000,df=4,d=6,rho=0.7); 
pairs(data); 

[Package QRMlib version 1.4.4 Index]