BiCopSim {VineCopula}

Simulation from a Bivariate Copula

Description

This function simulates from a given parametric bivariate copula.

Usage

BiCopSim(N, family, par, par2 = 0, obj = NULL, check.pars = TRUE)

Arguments

N

Number of bivariate observations simulated.

family

integer; single number or vector of size N; defines the bivariate copula family:
0 = independence copula
1 = Gaussian copula
2 = Student t copula (t-copula)
3 = Clayton copula
4 = Gumbel copula
5 = Frank copula
6 = Joe copula
7 = BB1 copula
8 = BB6 copula
9 = BB7 copula
10 = BB8 copula
13 = rotated Clayton copula (180 degrees; ⁠survival Clayton'') \cr `14` = rotated Gumbel copula (180 degrees; ⁠survival Gumbel”)
16 = rotated Joe copula (180 degrees; ⁠survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; ⁠survival BB1”)
18 = rotated BB6 copula (180 degrees; ⁠survival BB6'')\cr `19` = rotated BB7 copula (180 degrees; ⁠survival BB7”)
20 = rotated BB8 copula (180 degrees; “survival BB8”)
23 = rotated Clayton copula (90 degrees)
'24' = rotated Gumbel copula (90 degrees)
'26' = rotated Joe copula (90 degrees)
'27' = rotated BB1 copula (90 degrees)
'28' = rotated BB6 copula (90 degrees)
'29' = rotated BB7 copula (90 degrees)
'30' = rotated BB8 copula (90 degrees)
'33' = rotated Clayton copula (270 degrees)
'34' = rotated Gumbel copula (270 degrees)
'36' = rotated Joe copula (270 degrees)
'37' = rotated BB1 copula (270 degrees)
'38' = rotated BB6 copula (270 degrees)
'39' = rotated BB7 copula (270 degrees)
'40' = rotated BB8 copula (270 degrees)
'104' = Tawn type 1 copula
'114' = rotated Tawn type 1 copula (180 degrees)
'124' = rotated Tawn type 1 copula (90 degrees)
'134' = rotated Tawn type 1 copula (270 degrees)
'204' = Tawn type 2 copula
'214' = rotated Tawn type 2 copula (180 degrees)
'224' = rotated Tawn type 2 copula (90 degrees)
'234' = rotated Tawn type 2 copula (270 degrees)

par

numeric; single number or vector of size N; copula parameter.

par2

numeric; single number or vector of size N; second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: par2 = 0). par2 should be a positive integer for the Students's t copula family = 2.

obj

BiCop object containing the family and parameter specification.

check.pars

logical; default is TRUE; if FALSE, checks for family/parameter-consistency are omitted (should only be used with care).

Details

If the family and parameter specification is stored in a BiCop() object obj, the alternative version

BiCopSim(N, obj)

can be used.

Value

An N x 2 matrix of data simulated from the bivariate copula with family and parameter(s) par, par2.

Author(s)

Ulf Schepsmeier

See Also

BiCop(), RVineSim()

Examples

# simulate from a bivariate t-copula
simdata <- BiCopSim(100, 2, -0.7, par2 = 4)

# or alternatively
obj <- BiCop(family = 2, par = -0.7, par2 = 4)
simdata2 <- BiCopSim(100, obj)