R: Gauss Copula Simulation

rcopula.gauss {QRMlib}

R Documentation

Gauss Copula Simulation

Description

generates a random sample from the Gaussian copula

Usage

rcopula.gauss(n, Sigma=equicorr(d, rho), d=2, rho=0.7)

Arguments

n	number of observations
Sigma	correlation matrix
d	dimension of copula
rho	correlation parameter for specifying an equicorrelation structure

Details

This function is set up to allow quick simulation of Gauss copulas with an equicorrelation structure. Simply enter a value for the dimension d and the correlation parameter rho. For more general correlation matrices specify Sigma.

Value

a matrix with n rows and d columns

See Also

rAC, rcopula.gumbel, rcopula.clayton, rcopula.frank, rcopula.t

Examples

data <- rcopula.gauss(2000,d=6,rho=0.7); 
pairs(data); 

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Results

R version 2.11.1 (2010-05-31)
Copyright (C) 2010 The R Foundation for Statistical Computing
ISBN 3-900051-07-0

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

  Natural language support but running in an English locale

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(QRMlib)
> png(filename="rcopula.gauss_%03d_med.png", width=480, height=480)
> ### Name: rcopula.gauss
> ### Title: Gauss Copula Simulation
> ### Aliases: rcopula.gauss
> ### Keywords: distribution
> 
> ### ** Examples
> 
> data <- rcopula.gauss(2000,d=6,rho=0.7); 
> pairs(data); 
> 
> 
> 
> 
> dev.off()
null device 
          1 
> 
> 

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