EllCopSim {ElliptCopulas}

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 grid.

A

square-root 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:

• If genR$method == "pinv", the radius is generated using the function Runuran::pinv.new().

• If genR$method == "MH", the generation is done using the Metropolis-Hasting algorithm, with a N(0,1) move at each step.

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 meta-elliptical 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)