rCop: Sampling of Copula

In AlexanderRitz/copR: Archimedean Copulas (copR)

Description

Constructs a sample based on a given copula object.

Usage

rcop(copula = NULL, n = 0)

Arguments

copula	A copula object. Decides the copula to sample from.
n	integer. Supplies the desired number of observations.

Value

A matrix containing n observations of d random variables, based on the family of the supplied copula object.

References

Hofert et al. (2018). Elements of Copula Modeling with R. Springer.

Nelsen (2006). An introduction to copulas. Springer Series in Statistics. Second Edition.

Whelan (2004). Sampling from Archimedean copulas. Quantitative Finance, 2004, vol. 4, issue 3, pp. 339-352.

Marshall and Olkin (1988). Families of Multivariate Distributions. Journal of the American Statistical Association, Vol. 83, No. 403, pp.834-841.

Genest (1987). Frank's family of bivariate distributions. Biometrika (1987), 74, 3, pp. 549-55.

See Also

pcop and dcop

Examples

excop <- Claycop(par = 5, dim = 2)
exsam <- rcop(copula = excop, n = 1000)
plot(exsam, ylim = c(0, 1), xlim = c(0, 1), ylab = "U2", xlab = "U1")

AlexanderRitz/copR documentation built on Oct. 30, 2019, 4:11 a.m.