PLACKETTsim: Direct Simulation of a Plackett Copula
Description
Simulation of the Plackett copula (Nelsen, 2006, pp. 89--92) is made by this function using analytical formula (Durante, 2007, p. 247; see source code). Thus the PLACKETTsim function can be useful for comparison against the numerical derivative (conditional distribution method) methods (simCOP, simCOPmicro) otherwise used in copBasic. The documentation for PLACKETTcop provides the mathematical formula of the Plackett copula.
Usage
PLACKETTsim(n, para=NULL, ...)
Value
An R
data.frame of the values \(U\) and \(V\) for the nonexceedance probabilities is returned.
Arguments
n
Sample size;
para
The \(\Theta\) parameter of the Plackett copula; and
...
Additional arguments to pass.
Author
W.H. Asquith
References
Durante, F., 2007, Families of copulas, Appendix C, in Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature---An approach using copulas: Springer, 289 p.
Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.