VineCopula: BiCopCondSim – R documentation

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BiCopCondSim

Conditional simulation from a Bivariate Copula

Description

This function simulates from a parametric bivariate copula, where on of the variables is fixed. I.e., we simulate either from C_{2|1}(u_2|u_1;θ) or C_{1|2}(u_1|u_2;θ), which are both conditional distribution functions of one variable given another.

Usage

BiCopCondSim(
  N,
  cond.val,
  cond.var,
  family,
  par,
  par2 = 0,
  obj = NULL,
  check.pars = TRUE
)

Arguments

`N`	Number of observations simulated.
`cond.val`	numeric vector of length `N` containing the values to condition on.
`cond.var`	either `1` or `2`; the variable to condition on.
`family`	integer; single number or vector of size `N`; defines the bivariate copula family: `0` = independence copula `1` = Gaussian copula `2` = Student t copula (t-copula) `3` = Clayton copula `4` = Gumbel copula `5` = Frank copula `6` = Joe copula `7` = BB1 copula `8` = BB6 copula `9` = BB7 copula `10` = BB8 copula `13` = rotated Clayton copula (180 degrees; survival Clayton'') \cr `14` = rotated Gumbel copula (180 degrees; survival Gumbel”) `16` = rotated Joe copula (180 degrees; survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; survival BB1”) `18` = rotated BB6 copula (180 degrees; survival BB6'')\cr `19` = rotated BB7 copula (180 degrees; survival BB7”) `20` = rotated BB8 copula (180 degrees; “survival BB8”) `23` = rotated Clayton copula (90 degrees) '24' = rotated Gumbel copula (90 degrees) '26' = rotated Joe copula (90 degrees) '27' = rotated BB1 copula (90 degrees) '28' = rotated BB6 copula (90 degrees) '29' = rotated BB7 copula (90 degrees) '30' = rotated BB8 copula (90 degrees) '33' = rotated Clayton copula (270 degrees) '34' = rotated Gumbel copula (270 degrees) '36' = rotated Joe copula (270 degrees) '37' = rotated BB1 copula (270 degrees) '38' = rotated BB6 copula (270 degrees) '39' = rotated BB7 copula (270 degrees) '40' = rotated BB8 copula (270 degrees) '104' = Tawn type 1 copula '114' = rotated Tawn type 1 copula (180 degrees) '124' = rotated Tawn type 1 copula (90 degrees) '134' = rotated Tawn type 1 copula (270 degrees) '204' = Tawn type 2 copula '214' = rotated Tawn type 2 copula (180 degrees) '224' = rotated Tawn type 2 copula (90 degrees) '234' = rotated Tawn type 2 copula (270 degrees)
`par`	numeric; single number or vector of size `N`; copula parameter.
`par2`	numeric; single number or vector of size `N`; second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: `par2 = 0`). `par2` should be a positive integer for the Students's t copula `family = 2`.
`obj`	`BiCop` object containing the family and parameter specification.
`check.pars`	logical; default is `TRUE`; if `FALSE`, checks for family/parameter-consistency are omitted (should only be used with care).

Details

If the family and parameter specification is stored in a BiCop() object obj, the alternative version

BiCopCondSim(N, cond.val, cond.var, obj)

can be used.

Value

A length N vector of simulated from conditional distributions related to bivariate copula with family and parameter(s) par, par2.

Author(s)

Thomas Nagler

Examples

# create bivariate t-copula
obj <- BiCop(family = 2, par = -0.7, par2 = 4)

# simulate 500 observations of (U1, U2)
sim <- BiCopSim(500, obj)
hist(sim[, 1])  # data have uniform distribution
hist(sim[, 2])  # data have uniform distribution

# simulate 500 observations of (U2 | U1 = 0.7)
sim1 <- BiCopCondSim(500, cond.val = 0.7, cond.var = 1, obj)
hist(sim1)  # not uniform!

# simulate 500 observations of (U1 | U2 = 0.1)
sim2 <- BiCopCondSim(500, cond.val = 0.1, cond.var = 2, obj)
hist(sim2)  # not uniform!

VineCopula

Statistical Inference of Vine Copulas

v2.4.1

GPL (>= 2)

Authors

Thomas Nagler [aut, cre], Ulf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], Tobias Erhardt [aut], Carlos Almeida [ctb], Aleksey Min [ctb, ths], Claudia Czado [ctb, ths], Mathias Hofmann [ctb], Matthias Killiches [ctb], Harry Joe [ctb], Thibault Vatter [ctb]

Initial release