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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...