Hello, The copula function will give you random numbers that are marginally following a uniform distribution on [0,1]. Then you need to apply to those numbers the inverse of the cumulative distribution you think that mimic the best your data. For example, if you want to simulate n reduced centred normal distribution using a non Gaussian copula -i.e each variable follows a normal distribution of mean 0 and variance 1 but their joint distribution isn't the Gaussian copula but something else (it can be Clayton, Gumbel, etc.)- you need to apply to each random variable the function R qnorm.
HTH, Samuel -----Original Message----- From: [email protected] [mailto:[email protected]] On Behalf Of salmajj Sent: 19 January 2011 20:50 To: [email protected] Subject: [R-SIG-Finance] Copula and Multivariate distribution Hi all, I understand that rmvdc generates random number from mvdc object. But the mvdc object can only be used if we define the marginals! So my question is suppose we don't find any distribution which fit marginals so we use the Canonical Maximum Likelihood method (This approach uses the empirical CDF of each marginal distribution to transform the observations into pseudo observations with uniform margins) SO after finding the copula which fit the dependancy HOW i can generate random number which mimic the data? Hope my question is clear, please if someone have an idea help me! THANKS -- View this message in context: http://r.789695.n4.nabble.com/Copula-and-Multivariate-distribution-tp3225448p3225448.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. __________ Information from ESET NOD32 Antivirus, version of virus signature database 5801 (20110119) __________ The message was checked by ESET NOD32 Antivirus. http://www.eset.com __________ Information from ESET NOD32 Antivirus, version of virus signature database 5803 (20110120) __________ The message was checked by ESET NOD32 Antivirus. http://www.eset.com _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
