rmvt

Random multivariate t (standard t(nu) margins)

Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.

Pavel Krupskii

FactorCopulaModel

Factor Copula Models

Harry Joe

Xinyao Fan

Allan Macleod

Robert Gentleman

Ross Ihaka

rmvt function

<dl><dt>n</dt>
<dd>simulation sample size</dd><dt>rmat</dt>
<dd>correlation matrix</dd><dt>nu</dt>
<dd>degree of freedom parameter</dd></dl>

Arguments

Random multivariate t (standard t(nu) margins) — rmvt

<dl>

<dt>n</dt>
<dd>simulation sample size</dd>

<dt>rmat</dt>
<dd>correlation matrix</dd>

<dt>nu</dt>
<dd>degree of freedom parameter</dd>

</dl>

rmvt: Random multivariate t (standard t(nu) margins)

Description

Usage

Value

Arguments