rACp {QRMlib} | R Documentation |
Generate a sample from a generalized Archimedean copula.
rACp(n, d, theta, A, name = "gumbel")
n |
sample size of copula to be generated |
d |
dimension of the simulated copula |
theta |
vector of parameters for each of p factors corresponding to underlying exchangeable copulas |
A |
matrix with dimension d by p containing asymmetry parameters. Rows must sum to 1. |
name |
name of underlying exchangeable Archimedean copula from following list: clayton, gumbel, frank, BB9, GIG. Names are case-sensitive. |
See pages 224-6 of QRM for a bivariate example of this copula. The idea carries naturally to higher dimensions.
a matrix of dimension n times d where rows are realizations.
rAC
,
rcopula.Gumbel2Gp
rcopula.GumbelNested
alpha <- c(0.95,0.7); wtmatrix <- cbind(alpha, 1-alpha); data <- rACp(1000,d=2, theta=c(4,1), A=wtmatrix, name="gumbel");