cvinesim: Simulation from a trivariate C-vine copula

Description

Simulation from a trivariate C-vine copula

Usage

cvinesim(N,param,qcondcop12,qcondcop13,qcondcop23,
                  tau2par12,tau2par13,tau2par23)

Value

Nx3 matrix with values in (0,1)

Arguments

N: sample size
param: Kendall's tau values for margins (1,2), (1,3), (23|1)
qcondcop12: function for the inverse of conditional copula cdf at the (1,2) bivariate margin
qcondcop13: function for the inverse of conditional copula cdf at the (1,3) bivariate margin
qcondcop23: function for the inverse of conditional copula cdf at the (2,3|1) bivariate margin
tau2par12: function for maping Kendall's tau at the (1,2) bivariate margin to copula parameter
tau2par13: function for maping Kendall's tau at the (1,3) bivariate margin to copula parameter
tau2par23: function for maping Kendall's tau at the (2,3|1) bivariate margin to the conditional copula parameter

Details

Choices are 'cop' in rcop are bvn, frk, cln, cln90 (rotated by 90 degrees cln), cln180 (rotated by 180 degrees cln), cln270 (rotated by 270 degrees cln).

See help page for dcop for the abbreviations of the copula names.

References

Joe H (2011) Dependence comparisons of vine copulae with four or more variables. In: Kurowicka D, Joe H, editors. Dependence Modeling: Handbook on Vine Copulae. Singapore: World Scientific; 2011. p. 139--164

Joe H (2014) Dependence Modeling with Copulas. Chapman & Hall/CRC.