HAC (version 0.1-1)

rAC: Simulation of Archimedean Copulae

Description

The Marshal-Olkin Algorithm is implemented to simulate from Archimedean Copulae.

Usage

rAC(n, theta = 1.5, dim = 2, type = AC_GUMBEL)

Arguments

n

the number of generated random vectors.

theta

the dependency parameter of the AC.

dim

the dimension of the copula.

type

choose the AC-type between AC_GUMBEL and AC_CLAYTON.

Value

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

References

Marshall, A.W. and Olkin, I. 1988, Families of Multivariate Distributions, Journal of the American Statistical Association 83, 834-841.

See Also

rHAC

Examples

# a sample of the 3 dimensional Clayton copula
sample = rAC(5000, 2.5, 3, AC_CLAYTON)