Displaying 1 result from an estimated 1 matches for "nestedarchimedean".
2012 Jul 12
0
Generate random numbers with nested Archimedean Copula
...ses with a third one
with theta1 (parent). This "figure" tries to capture what I am explaining
theta1
theta2 x1
x2 x3
I try to follow McNeil (2006)
http://www.ma.hw.ac.uk/~mcneil/ftp/NestedArchimedean.pdf
with R as the programming language. My code so far is as follows:
n = 10000
#parent
tau1 = 0.60
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 = cbi...