rcopula.clayton {QRMlib}R Documentation

Clayton Copula Simulation

Description

generates a random sample from the Clayton copula

Usage

rcopula.clayton(n, theta, d)

Arguments

n sample size
theta parameter value
d dimension of copula

Details

see pages 222-224 in QRM

Value

matrix with n rows and d columns where rows are realizations

See Also

rAC, rcopula.gumbel, rcopula.gauss, rcopula.t, rcopula.frank

Examples

data <- rcopula.clayton(1000,2,4); 
pairs(data); 

[Package QRMlib version 1.4.4 Index]