rarchi function

Archimedean copula sampler

Sampler based on the Marshall-Olkin algorithm

rarchi(n, family, d, theta)

Arguments

• n: sample size
• family: family of the Archimedean copula. Either "clayton", "gumbel", "frank", "AMH" or "joe"
• d: dimension of sample
• theta: parameter of the Archimedean copula

Returns

a sample of dimension n by d from the Archimedean copula

Examples

#Sample from a Gumbel Archimedean copula
rarchi(n = 100, "gumbel", d = 4, theta = 2)
#Sample from the independence copula
rarchi(n = 100, "gumbel", d = 4, theta = 1)