CDVineSim {CDVine} | R Documentation |
This function simulates from given C- and D-vine copula models.
CDVineSim(N, family, par, par2=rep(0,length(family)), type)
N |
Number of d-dimensional observations simulated. |
family |
A d*(d-1)/2 integer vector of C-/D-vine pair-copula families with values |
par |
A d*(d-1)/2 vector of pair-copula parameters. |
par2 |
A d*(d-1)/2 vector of second parameters for pair-copula families with two parameters (t, BB1, BB6, BB7, BB8; default: |
type |
Type of the vine model: |
An N
x d matrix of data simulated from the given C- or D-vine copula model.
Carlos Almeida, Ulf Schepsmeier, Eike Brechmann, Jakob Stoeber
Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009). Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44 (2), 182-198.
## Example 1: simulate from a 6-dimensional C-vine model ## with Gaussian pair-copulas d = 6 dd = d*(d-1)/2 fam1 = rep(1,dd) par1 = c(0.2,0.69,0.73,0.22,-0.09,0.51,0.32,0.01,0.82,0.01, -0.2,-0.32,-0.19,-0.17,-0.06) N = 100 U1 = CDVineSim(N,fam1,par1,type=1) head(U1) # calculate the log-likelihood logLik = CDVineLogLik(U1,fam1,par1,type=1) logLik$loglik ## Example 2: simulate from a 6-dimensional C-vine model ## with Student t pair-copulas each with three degrees of freedom fam2 = rep(2,dd) par2 = rep(0.5,dd) nu2 = rep(3,dd) U2 = CDVineSim(N,fam2,par2,nu2,type=1) # calculate the log-likelihood logLik2 = CDVineLogLik(U2,fam2,par2,nu2,type=1) logLik2$loglik ## Example 3: simulate from a 6-dimensional D-vine model ## with Student t pair-copulas each with five degrees of freedom fam3 = rep(2,dd) par3 = rep(0.4,dd) nu3 = rep(5,dd) U3 = CDVineSim(N,fam3,par3,nu3,type=2) # calculate the log-likelihood logLik3 = CDVineLogLik(U3,fam3,par3,nu3,type=2) logLik3$loglik