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inner
2012 Jul 12
0
Generate random numbers with nested Archimedean Copula
...theta1 = (2*tau1)/(1-tau1)
#child
tau2 = 0.80
theta2 = (2*tau2)/(1-tau2)
#parent
V1 = rgamma(n, 1/theta1,1)
#child
V2 = rgamma(n, 1/theta2,1)
u1 = runif(n)
u2 = runif(n)
u3 = runif(n)
u = cbind(u2,u3)
#Create bivariate child copula
u.inner = (1-log(u)/V2)^(-1/theta2)
#Child inner generator
u.inner2 =exp(V1 - V1*(1 + (-log(u.inner)/V1))^(theta1/theta2))
#Create parent copula
u.c = cbind(u1,u.inner2)
u.ch = 1/((-log(u.c)/V1) + 1)^(1/theta1)
Kendall's tau between u2,u3 should equal 0.60 and 0.80 among u1,u2 and
u1,u3.
My results are 0.60 between u2,u3 but unfortunately 0.87 among u1,u2 a...