rcopula.GumbelNested {QRMlib} | R Documentation |
generates sample from a d dimensional Gumbel copula with nested structure constructed using (d-1) Gumbel generators
rcopula.GumbelNested(n, theta)
n |
sample size |
theta |
vector of admissable Gumbel copula parameters of length ( d-1) ordered by increasing size |
see page 226 of QRM for trivial tri-variate example
matrix of dimension n by d where rows are realizations
data <- rcopula.GumbelNested(n=3000,theta=1:6); pairs(data);