[R] General Copula theory

Chris89 chrisege at stud.ntnu.no
Fri Apr 11 10:36:45 CEST 2014

Hi everyone!

Firstly, let me specify that I an new to copula theory, so be gentle! 

I have two data sets containing wind data for 14 years, and I am to use
Gumbel marginals and a Gumbel copula. The question is, how will I generate
data from the marginals? 

I have 14 years of data (4 observations each day), so I have taken the
maximum of each year (eliminating seasonality) and then found the parameters
of the corresponding Gumbel distribution. But then what? Should I generate n
values of Gumbel distributed data, get uniform values by the inverse
cumulative, and then put these into the Gumbel copula?

I guess this have to be wrong, but I just can't seem to find a good
procedure on this topic.


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