[R-SIG-Finance] Copula and Multivariate distribution

[Christophe Dutang]

Hello,

you can use something like that

eqf <- function(x, sampleMarg) as.numeric(quantile(sampleMarg, probs=x))

and apply eqf on each marginal after the copula fit if you want to generate random samples or directly ecdf if you want to compute multivariate distribution function.

Christophe

--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr

Le 19 janv. 2011 à 21:50, salmajj a écrit :

> 
> 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 
> 
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