cvinesim {CopulaREMADA}

Simulation from a trivariate C-vine copula

Description

Simulation from a trivariate C-vine copula

Usage

cvinesim(N,param,qcondcop12,qcondcop13,qcondcop23,
                  tau2par12,tau2par13,tau2par23)

Arguments

N

sample size

param

Kendall's tau values for margins (1,2), (1,3), (23|1)

qcondcop12

function for the inverse of conditional copula cdf at the (1,2) bivariate margin

qcondcop13

function for the inverse of conditional copula cdf at the (1,3) bivariate margin

qcondcop23

function for the inverse of conditional copula cdf at the (2,3|1) bivariate margin

tau2par12

function for maping Kendall's tau at the (1,2) bivariate margin to copula parameter

tau2par13

function for maping Kendall's tau at the (1,3) bivariate margin to copula parameter

tau2par23

function for maping Kendall's tau at the (2,3|1) bivariate margin to the conditional copula parameter

Details

Choices are 'cop' in rcop are bvn, frk, cln, cln90 (rotated by 90 degrees cln), cln180 (rotated by 180 degrees cln), cln270 (rotated by 270 degrees cln).

See help page for dcop for the abbreviations of the copula names.

Value

Nx3 matrix with values in (0,1)

References

Joe H (2011) Dependence comparisons of vine copulae with four or more variables. In: Kurowicka D, Joe H, editors. Dependence Modeling: Handbook on Vine Copulae. Singapore: World Scientific; 2011. p. 139–164

Joe H (2014) Dependence Modeling with Copulas. Chapman & Hall/CRC.

Joe H (2014) CopulaModel: Dependence Modeling with Copulas. Software for book: Dependence Modeling with Copulas, Chapman & Hall/CRC, 2014.

See Also

qcondcop dcop rcop