rcopula: Random Number Generation for Copula Functions.

In gsoutinho/survCopula: Multivariate Dependence Modeling with Copulas for Survival Data

Description

Random Number Generation for Bivariate Copula Functions. Returns a number of pairs of random values from a bivariate copula with marginal distributions X and Y.

Usage

rcopula(
  typeCopula = "clayton",
  theta = 1,
  typeX = "Exp",
  num1_X = 1,
  num2_X = NULL,
  typeY = "Exp",
  num1_Y = 1,
  num2_Y = NULL,
  nsim = 500
)

Arguments

typeCopula	Type of copula. Possible options are "clayton", "frank" "FGM", "AMH", "gumbel-hougaard" and "joe". Defaults to "clayton".
theta	A numeric value for the space parameter.
typeX	Type of marginal distribution. Possible options are "Exp", "Norm" "Unif" and "Gamma". Defaults to "Exp".
num1_X	A numeric value for the first parameter of the first marginal distribution.
num2_X	A numeric value for the second parameter of the first marginal distribution. Only required for two parameter distributions.
typeY	Type of marginal distribution. Possible options are "Exp", "Norm" "Unif" and "Gamma". Defaults to "Exp".
num1_Y	A numeric value for the first parameter of the second marginal distribution.
num2_Y	A numeric value for the second parameter of the second marginal distribution. Only required for two parameter distributions.
nsim	Number of observations to be generated.

Value

2-dimensional random vector with the results of the simulation.

Author(s)

Gustavo Soutinho, Luis Meira-Machado

Examples

res<-rcopula(typeCopula = 'clayton', theta = 2, typeX='Exp', num1_X=0.9, 
             typeY='Exp', num1_Y=0.3, nsim=1000)

res

res2<-rcopula(typeCopula = 'AMH', theta = 2, typeX='Norm', num1_X=0.9, num2_X=0.3, 
              typeY='Gamma', num1_Y=3, num2_Y=2, nsim=1000)
              
res2[,2]

gsoutinho/survCopula documentation built on Sept. 4, 2020, 3:54 a.m.