rcopula {PNAR}

Random number generation of copula functions

Description

Random number generation of copula functions.

Usage

rcopula(n, N, copula = "gaussian", corrtype = "equicorrelation",
rho, dof = 1, cholR = NULL)

Arguments

n

The number of random values to generate.

N

The number of variables for which random valeus will be generated.

copula

Which copula function to use? The "gaussian", "t", or "clayton".

rho

The the value of the copula parameter (\rho). A scalar in [-1,1] for elliptical copulas (Gaussian, t), a value greater than or equal to -1 for Clayton copula.

corrtype

Used only for elliptical copulas. The type of correlation matrix employed for the copula; it will either be the "equicorrelation" or "toeplitz". The "equicorrelation" option generates a correlation matrix where all the off-diagonal entries equal \rho. The "toeplitz" option generates a correlation matrix whose generic off-diagonal (i,j)-element is \rho^{|i-j|}.

dof

The degrees of freedom for Student's t copula.

cholR

An alternative input for elliptic copulas, providing directly the Cholesky decomposition for a specific correlation matrix to be passed, otherwise leave it NULL.

Details

This function generates random copula values from Gaussian, Student's t, or Clayton copulas based on a single copula paremeter and different correlation structures.

Value

An n \times N matrix with the simulated copula values.

Author(s)

Mirko Armillotta, Michail Tsagris and Konstantinos Fokianos.

References

Nelsen, Roger B. (1999). An Introduction to Copulas, Springer.

See Also

getN, poisson.MODpq, poisson.MODpq.log

Examples

u <- rcopula(n = 100, N = 50, rho = 0.3)