SimCop {SimCop}

SimCop: A package to simulate random variates from an arbitrary multivariate copula

Description

R code to support Tajvidi and Turlach (2017). The main functions implemented for the SimCop package are:

• New*Copula, various functions that create objects of class ‘SimCop’. These functions return a copula function with various helpful information stored in the environment of the function.

  Details of the implementation are subject to change and should not be relied on.

  Only a print method is implemented for this class so far.

• GetApprox, a function that calculates approximations to a copula and returns an object of class ‘CopApprox’.

  For bivariate copulae a method for plot is implemented for this class.

• GenerateRV, a generic function that generates random variates from an object, together with a method for objects of class ‘CopApprox’.

References

Tajvidi, N. and Turlach, B.A. (2017). A general approach to generate random variates for multivariate copulae, Australian & New Zealand Journal of Statistics. Doi:10.1111/anzs.12209.