generate_t_copula_samples: Generate t-Copula Samples

In covalchemy: Constructing Joint Distributions with Control Over Statistical Properties

Generate t-Copula Samples

Description

This function generates samples from a t-copula given a specified correlation matrix and degrees of freedom. The samples are uniformly distributed in [0, 1]. across dimensions.

Usage

generate_t_copula_samples(n, d, rho_matrix, df)

Arguments

n	Integer. The number of samples to generate.
d	Integer. The dimensionality of the copula.
rho_matrix	A d x d positive-definite correlation matrix.
df	Numeric. The degrees of freedom of the t-distribution. Must be positive.

Details

The function works as follows:

1. Generates multivariate t-distributed samples using the specified correlation matrix and degrees of freedom.

2. Transforms the samples to the uniform distribution [0, 1] using the cumulative distribution function (CDF) of the t-distribution.

Value

A matrix of size n x d, where each row represents a sample and each column corresponds to a dimension. The values are uniformly distributed in [0, 1].

Examples

# Example usage:
library(mvtnorm)  # Load package for `rmvt`
rho_matrix <- diag(3)  # 3x3 identity matrix as correlation matrix
samples <- generate_t_copula_samples(n = 1000, d = 3, rho_matrix = rho_matrix, df = 5)
head(samples)

covalchemy documentation built on April 12, 2025, 2:15 a.m.