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

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

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 Dec. 13, 2024, 6:39 p.m.