rcopula.frank {QRMlib}R Documentation

Frank Copula Simulation

Description

generates a random sample from the Frank copula

Usage

rcopula.frank(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.clayton, rcopula.gauss, rcopula.t

Examples

#generate data for a 2-dimensional frank copula with theta=4 
simdata <- rcopula.frank(1000,2,4); 
pairs(simdata); 
simdata <- rAC("frank",1000,2,4)

[Package QRMlib version 1.4.4 Index]