R/simu.FGM.R

In Copula.surv: Analysis of Bivariate Survival Data Based on Copulas

simu.FGM=function(n,alpha,scale1=1,scale2=1,shape1=1,shape2=1,
                  Print=FALSE){

  if((-1>alpha)|(alpha>1)){warning("Should be -1<=alpha<=1")}

  U.vec=V.vec=X.vec=Y.vec=numeric(n)
  for (i in 1:n){
    U=runif(1,0,1)
    W=runif(1,0,1)
    func=function(v){ W-v*(1+alpha*(1-v)*(1-2*U)) }
    V=uniroot(func,lower=0,upper=1)$root
    U.vec[i]=U
    V.vec[i]=V
    X.vec[i]=(-log(U)/scale1)^(1/shape1)
    Y.vec[i]=(-log(V)/scale2)^(1/shape2)
  }

  if(Print==TRUE){
    meanX=scale1^(-1/shape1)*gamma(1+1/shape1)
    meanY=scale2^(-1/shape2)*gamma(1+1/shape2)
    print(
      c(true_Kendall_tau=2*alpha/9,meanX=meanX,meanY=meanY)
    )
  }
  cbind(U=U.vec,V=V.vec,X=X.vec,Y=Y.vec)
}