| Library: | VaR |
| See also: | VaRcopula VaRfitcopula |
| Quantlet: | VaRsimcopula | |
| Description: | generates 2-dimensional random data from distribution with given copula |
| Usage: | res = VaRsimcopula(samples,sigma1,sigma2,theta,mycopula) | |
| Input: | ||
| samples | scalar, number of observations | |
| sigma1 | standard deviation of the first normal distribution | |
| sigma2 | standard deviation of the second normal distribution | |
| theta | scalar, parameter of the copula | |
| mycopula | scalar, integer between 1 and 22, chooses the copula; see VaRcopula for details | |
| Output: | ||
| res | pseudorandom data | |
library("VaR")
randomize(1)
VaRsimcopula(6,1,1,5,4)
Contents of res [1,] -3.3311 -2.5395 [2,] 0.62711 0.36266 [3,] -1.9739 -2.2554 [4,] 0.0099812 0.19167 [5,] -1.7976 -1.0003 [6,] -1.1899 -1.2875