EllCopSim {ElliptCopulas}  R Documentation 
Simulation from an elliptical copula model
Description
Simulation from an elliptical copula model
Usage
EllCopSim(n, d, grid, g_d, A = diag(d), genR = list(method = "pinv"))
Arguments
n 
number of observations. 
d 
dimension of X. 
grid 
grid on which values of density generator are known. 
g_d 
vector of values of the density generator on the 
A 
squareroot of the correlation matrix of X. 
genR 
additional arguments for the generation of the squared radius. It must be a list with a component method:

Value
a matrix of size (n,d)
with n
observations
of the d
dimensional elliptical copula.
References
Derumigny, A., & Fermanian, J. D. (2022). Identifiability and estimation of metaelliptical copula generators. Journal of Multivariate Analysis, article 104962. doi:10.1016/j.jmva.2022.104962.
See Also
EllDistrSim
for the simulation of elliptical distributions samples,
EllCopEst
for the estimation of elliptical copula,
EllCopLikelihood
for the computation of the likelihood of a given generator,
DensityGenerator.normalize
to compute the normalized version of a given generator.
Examples
# Simulation from a Gaussian copula
grid = seq(0,5,by = 0.01)
X = EllCopSim(n = 20, d = 2, grid = grid, g_d = exp(grid/2))
X = EllCopSim(n = 20, d = 2, grid = grid, g_d = exp(grid/2),
genR = list(method = "MH", niter = 500) )
plot(X)