copBasic (version 1.5.1)

simCOPmicro: Simulate a V from an U through a Copula by Numerical Derivative Method

Description

Perform a single simulation of $V$ from $U$ of a copula by numerical derivatives of the copula.

Usage

simCOPmicro(u, cop=NULL, para=NULL, ...)

Arguments

u

A nonexceedance probability in the horizontal or $u$ direction;

cop

A copula function;

para

Vector of parameters, if needed, to pass to the copula; and

...

Additional arguments to pass should they be needed.

Value

• A simulated value of nonexceedance probability in the vertical or $v$ direction is returned.

References

Nelson, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.

See Also

simCOP

Examples

simCOPmicro(runif(1), cop=W)   # Frechet lower bound
simCOPmicro(runif(1), cop=P)   # Independence copula
simCOPmicro(runif(1), cop=M)   # Frechet upper bound
simCOPmicro(runif(1), cop=PSP) # The PSP copula

# Now let us get more complicated and mix two Plackett copulas
# together using the composite2COP as a "compositor." The
# parameter argument becomes more complex, but is passed as
# shown into composite2COP.
para <- list(cop1=PLACKETTcop, cop2=PLACKETTcop,
             alpha=0.3, beta=0.5, para1=0.1, para2=50)
simCOPmicro(runif(1), cop=composite2COP, para=para)