[R] Copulas and three vectors

Jakub Mikians jakub.mikians at gmail.com
Wed Aug 17 07:24:46 CEST 2011


Hi

i have a question about "copula" package (
http://cran.r-project.org/web/packages/copula/copula.pdf ,
http://www.jstatsoft.org/v21/i04/paper )

Using copulas, I want to generate three random vectors V1, V2 and V3,
where both pairs (V1, V2) and (V1,V3) have the same dependency
structure, defined by copula. To give an example:

I can generate two correlated vectors Va and Vb:

   myMvd <- mvdc(copula = gaussianCopula(0.50), margins = c("norm",
"norm" ), paramMargins = list(list(mean = 0, sd = 2), list(mean = 0,
sd = 2) )
   x.samp <- rmvdc(x, 100)
   Va = x.samp[,1]
   Vb = x.samp[,2]

Doing it again, I will obtain

   ...
   Vc = x.samp[,1]
   Vd = x.samp[,2]

What I would like to have is that Va = Vc. After generating Va, I
would like to "fix" it somehow (?), so Vb and Vdare generated with
respect to already generated Va. Is it possible?

--
j



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