BiCopSim {CDVine} | R Documentation |
Simulation from a bivariate copula
Description
This function simulates from a given parametric bivariate copula.
Usage
BiCopSim(N, family, par, par2=0)
Arguments
N |
Number of bivariate observations simulated.
|
family |
An integer defining the bivariate copula family:
0 = independence copula
1 = Gaussian copula
2 = Student t copula (t-copula)
3 = Clayton copula
4 = Gumbel copula
5 = Frank copula
6 = Joe copula
7 = BB1 copula
8 = BB6 copula
9 = BB7 copula
10 = BB8 copula
13 = rotated Clayton copula (180 degrees; “survival Clayton”)
14 = rotated Gumbel copula (180 degrees; “survival Gumbel”)
16 = rotated Joe copula (180 degrees; “survival Joe”)
17 = rotated BB1 copula (180 degrees; “survival BB1”)
18 = rotated BB6 copula (180 degrees; “survival BB6”)
19 = rotated BB7 copula (180 degrees; “survival BB7”)
20 = rotated BB8 copula (180 degrees; “survival BB8”)
23 = rotated Clayton copula (90 degrees)
24 = rotated Gumbel copula (90 degrees)
26 = rotated Joe copula (90 degrees)
27 = rotated BB1 copula (90 degrees)
28 = rotated BB6 copula (90 degrees)
29 = rotated BB7 copula (90 degrees)
30 = rotated BB8 copula (90 degrees)
33 = rotated Clayton copula (270 degrees)
34 = rotated Gumbel copula (270 degrees)
36 = rotated Joe copula (270 degrees)
37 = rotated BB1 copula (270 degrees)
38 = rotated BB6 copula (270 degrees)
39 = rotated BB7 copula (270 degrees)
40 = rotated BB8 copula (270 degrees)
|
par |
Copula parameter.
|
par2 |
Second parameter for bivariate copulas with two parameters (t, BB1,BB6, BB7, BB8; default: par2 = 0 ).
|
Value
An N
x 2 matrix of data simulated from the bivariate copula.
Author(s)
Ulf Schepsmeier
See Also
BiCopCDF
, BiCopPDF
, CDVineSim
Examples
# simulate from a bivariate t-copula
simdata = BiCopSim(300,2,-0.7,par2=4)
[Package
CDVine version 1.4
Index]