Random number generation of copula functions.
rcopula(n, N, copula = "gaussian", corrtype = "equicorrelation",
rho, dof = 1, cholR = NULL)An \(n \times N\) matrix with the simulated copula values.
The number of random values to generate.
The number of variables for which random valeus will be generated.
Which copula function to use? The "gaussian", "t", or "clayton".
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.
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 \(\rho^{|i-j|}\).
The degrees of freedom for Student's t copula.
An alternative input for elliptic copulas, providing directly the Cholesky decomposition for a specific correlation matrix to be passed, otherwise leave it NULL.
Mirko Armillotta, Michail Tsagris and Konstantinos Fokianos.
This function generates random copula values from Gaussian, Student's t, or Clayton copulas based on a single copula paremeter and different correlation structures.
Nelsen, Roger B. (1999). An Introduction to Copulas, Springer.
getN, poisson.MODpq, poisson.MODpq.log
u <- rcopula(n = 100, N = 50, rho = 0.3)
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