rcopula.GumbelNested {QRMlib}R Documentation

Gumbel Copula with Nested Structure

Description

generates sample from a d dimensional Gumbel copula with nested structure constructed using (d-1) Gumbel generators

Usage

rcopula.GumbelNested(n, theta)

Arguments

n sample size
theta vector of admissable Gumbel copula parameters of length ( d-1) ordered by increasing size

Details

see page 226 of QRM for trivial tri-variate example

Value

matrix of dimension n by d where rows are realizations

See Also

rAC, rcopula.Gumbel2Gp

Examples

data <- rcopula.GumbelNested(n=3000,theta=1:6); 
pairs(data); 

[Package QRMlib version 1.4.4 Index]