HAC (version 0.1-1)

rHAC: Simulation of a defined HAC

Description

The simulation of HAC is implemented in this function.

Usage

rHAC(n, hac)

Arguments

n

the number of generated random vectors.

hac

an object of the class hac.

Value

• A $n \times d$ matrix, where $d$ refers to the dimension of the HAC.

References

Hofert, M. 2011, Efficiently Sampling Nested Archimedean Copulas, Computational Statistics & Data Analysis 55, 57-70.

McNeil, A.,J. 2008, Sampling Nested Archimedean Copulas, Journal of Statistical Computation and Simulation 78, 567-581.

See Also

estimate.copula

Examples

ac_model = hac(type = AC_GUMBEL, X = 3, dim = 3)
sample = rHAC(1000, ac_model)
plot(ac_model, ylim = c(-0.4, 1.25), l = 1, h = 0.35)

M = matrix(c(2, 0, 0, 0, 3, 4, 0, 0, ~X1 + X5, ~X2, ~X3, ~X4 + X6),
ncol = 4, byrow = TRUE)
g.model = hac(HAC_CLAYTON, M)
plot(g.model, index = TRUE)

# sample from copula g.model
x = rHAC(5000, g.model)