VineCopula (version 1.0)

RVineSim: Simulation from an R-vine copula model

Description

This function simulates from a given R-vine copula model.

Usage

RVineSim(N, RVM)

Arguments

N

Number of d-dimensional observations to simulate.

RVM

An RVineMatrix object containing the information of the R-vine copula model.

Value

• An N x d matrix of data simulated from the given R-vine copula model.

References

Dissmann, J. F., E. C. Brechmann, C. Czado, and D. Kurowicka (2011). Selecting and estimating regular vine copulae and application to financial returns. Submitted for publication. http://mediatum.ub.tum.de/node?id=1079277

See Also

RVineMatrix, BiCopSim

Examples

# define 5-dimensional R-vine tree structure matrix
Matrix = c(5,2,3,1,4,0,2,3,4,1,0,0,3,4,1,0,0,0,4,1,0,0,0,0,1)
Matrix = matrix(Matrix,5,5)

# define R-vine pair-copula family matrix
family = c(0,1,3,4,4,0,0,3,4,1,0,0,0,4,1,0,0,0,0,3,0,0,0,0,0)
family = matrix(family,5,5)

# define R-vine pair-copula parameter matrix
par = c(0,0.2,0.9,1.5,3.9,0,0,1.1,1.6,0.9,0,0,0,1.9,0.5,
        0,0,0,0,4.8,0,0,0,0,0)
par = matrix(par,5,5)

# define second R-vine pair-copula parameter matrix
par2 = matrix(0,5,5)

# define RVineMatrix object
RVM = RVineMatrix(Matrix=Matrix,family=family,par=par,par2=par2,
                  names=c("V1","V2","V3","V4","V5"))

# simulate a sample of size 300 from the R-vine copula model
simdata = RVineSim(300,RVM)