PLACKETTsim: Direct Simulation of a Plackett Copula

In wasquith/copBasic: General Bivariate Copula Theory and Many Utility Functions

Direct Simulation of a Plackett Copula

Description

Plackett copula simulation (Nelsen, 2006, pp. 89–92) (PLACKETTcop) is made by this function using analytical formula (Durante, 2007, p. 247; see source code). The PLACKETTsim function exists for comparison against the numerical derivative (conditional distribution method) methods (simCOP, simCOPmicro) otherwise used in copBasic.

Usage

PLACKETTsim(n, para=NULL, ...)

Arguments

n	Sample size;
para	The \Theta parameter of the Plackett copula; and
...	Additional arguments to pass.

Value

An R data.frame of the values U and V for the nonexceedance probabilities is returned.

Author(s)

W.H. Asquith

References

Durante, F., 2007, Families of copulas, Appendix C, in Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature—An approach using copulas: Springer, 289 p.

Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.

See Also

PLACKETTcop, PLACKETTpar

Examples

PLACKETTsim(10, para= 1  ) # simulate P (independence) copula through a Plackett
PLACKETTsim(10, para=20.3) # simulate strong positive Plackett

wasquith/copBasic documentation built on Feb. 17, 2025, 11:39 a.m.