R help - Jul 2008 - Sampling two exponentials

Hi all,
  I am going to sample two variables from two exponential distributions, but I
want to specify a covariance structure between these two variables. Is there any
way to do it in R? Or is there a "Multivariate Exponential" thing
corresponding to the multivariate normal? Thanks in advance.

Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: yzhang@munichreamerica.com<mailto:yzhang@munichreamerica.com>


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Zhang Yanwei - Princeton-MRAm <YZhang <at> munichreamerica.com>
writes:
> 
> Hi all,
>   I am going to sample two variables from two exponential distributions,
but I
want to specify a covariance
> structure between these two variables. Is there any way to do it in R? Or
is
there a "Multivariate
> Exponential" thing corresponding to the multivariate normal? Thanks in
advance.
> 
  It's not at all easy, but I'd suggest that you do some reading
about copulas (and take a look at the copula package).

  Ben Bolker

I am trying to do this using the copula library and find a possible way out.

library(copula)
x=mvdc(claytonCopula(.75),c("exp","exp"),list(list(rate=1),list(rate=2)))
x.sample=rmvdc(x,100)

The above code gives a sample with two marginal exponential ditributions. But
what does the first argument claytonCopula(.75) mean? How can one specify the
correlation between these two marginals? Thanks

Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: yzhang at munichreamerica.com

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of Zhang Yanwei - Princeton-MRAm
Sent: Wednesday, July 30, 2008 5:48 PM
To: r-help at r-project.org
Subject: [R] Sampling two exponentials

Hi all,
  I am going to sample two variables from two exponential distributions, but I
want to specify a covariance structure between these two variables. Is there any
way to do it in R? Or is there a "Multivariate Exponential" thing
corresponding to the multivariate normal? Thanks in advance.

Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling Munich Re America
Tel: 609-275-2176
Email: yzhang at munichreamerica.com<mailto:yzhang at munichreamerica.com>


        [[alternative HTML version deleted]]

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