PairCopulaRand
Generating (pseudo-)random variables from a pair-copula
Purpose
The function draws N pseudo-random 2-dimensional tuples from a pair-copula. Possible copula families:
0 Indep
1 AMH
2 AsymFGM
3 BB1
4 BB6
5 BB7
6 BB8
7 Clayton
8 FGM
9 Frank
10 Gaussian
11 Gumbel
12 IteratedFGM
13 Joe
14 PartialFrank
15 Plackett
16 Tawn1
17 Tawn2
18 Tawn
19 t
Usage
U = CopulaRand(family,N,theta)
Rotated pair-copulas
U = CopulaRand(family,N,theta,rotation)
Inputs
family = The copula family.
N = The number of pseudo-random tuples to be drawn.
theta = The parameter vector for the pair-copula.
rotation = The degree of rotation, i.e., either 90, 180 or 270. No
rotation is achieved by letting the rotation argument
empty or by choosing 0 rotation.
Outputs
U = (N x 2) Matrix of simulated tuples from the specified
pair-copula.