BiCopSim: Simulation from a Bivariate Copula

In tnagler/VineCopula: Statistical Inference of Vine Copulas

Simulation from a Bivariate Copula

Description

This function simulates from a given parametric bivariate copula.

Usage

BiCopSim(N, family, par, par2 = 0, obj = NULL, check.pars = TRUE)

Arguments

N	Number of bivariate observations simulated.
family	integer; single number or vector of size N; defines 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'') \cr `14` = rotated Gumbel copula (180 degrees; ⁠survival Gumbel”) 16 = rotated Joe copula (180 degrees; ⁠survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; ⁠survival BB1”) 18 = rotated BB6 copula (180 degrees; ⁠survival BB6'')\cr `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) '104' = Tawn type 1 copula '114' = rotated Tawn type 1 copula (180 degrees) '124' = rotated Tawn type 1 copula (90 degrees) '134' = rotated Tawn type 1 copula (270 degrees) '204' = Tawn type 2 copula '214' = rotated Tawn type 2 copula (180 degrees) '224' = rotated Tawn type 2 copula (90 degrees) '234' = rotated Tawn type 2 copula (270 degrees)
par	numeric; single number or vector of size N; copula parameter.
par2	numeric; single number or vector of size N; second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: par2 = 0). par2 should be a positive integer for the Students's t copula family = 2.
obj	BiCop object containing the family and parameter specification.
check.pars	logical; default is TRUE; if FALSE, checks for family/parameter-consistency are omitted (should only be used with care).

Details

If the family and parameter specification is stored in a BiCop() object obj, the alternative version

BiCopSim(N, obj)

can be used.

Value

An N x 2 matrix of data simulated from the bivariate copula with family and parameter(s) par, par2.

Author(s)

Ulf Schepsmeier

See Also

BiCop(), RVineSim()

Examples

# simulate from a bivariate t-copula
simdata <- BiCopSim(100, 2, -0.7, par2 = 4)

# or alternatively
obj <- BiCop(family = 2, par = -0.7, par2 = 4)
simdata2 <- BiCopSim(100, obj)

tnagler/VineCopula documentation built on March 6, 2024, 5 a.m.