rBB9Mix {QRMlib}R Documentation

Mixture Distribution Yielding BB9 Copula

Description

generates random sample from mixing distribution required for sampling from Joe's BB9 copula using Laplace transform method

Usage

rBB9Mix(n, theta)

Arguments

n size of sample
theta values of two parameters of BB9 copula; first must be positive; second must be greater than one.

Details

see page 224 of QRM. Algorithm essentially generates V corresponding to Joe's BB9 copula. For this copula algorithm uses fairly naive rejection and is SLOW!

Value

random sample of size n

References

Joe, H. Multivariate Models and Dependence Concepts, Chapman and Hall, 1997. See page 154 for BB9 copula.

See Also

rAC


[Package QRMlib version 1.4.4 Index]