rcopula.Gumbel2Gp {QRMlib}R Documentation

Gumbel Copula with Two-Group Structure

Description

generates sample from a Gumbel copula with two-group structure constructed using three Gumbel generators

Usage

rcopula.Gumbel2Gp(n=1000, gpsizes=c(2, 2), theta=c(2, 3, 5))

Arguments

n sample size
gpsizes vector of length two containing sizes of the groups
theta parameter vector of length 3 giving parameters of the three Gumbel generators

Details

see page 227 of QRM for an example of construction

Value

matrix of dimension n by sum(gpsizes) where rows are realizations

See Also

rAC, rcopula.GumbelNested

Examples

data <- rcopula.Gumbel2Gp(n=3000,gpsizes=c(3,4),
                     theta=c(2,3,5)); 
pairs(data); 

[Package QRMlib version 1.4.4 Index]