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 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.

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)



[Package ElliptCopulas version 0.1.3 Index]