https://github.com/MalteKurz/VineCopulaMatlab
Tip revision: 4677b6880f6c47546b8bd592bcf64c73fa02f7ad authored by Malte Kurz on 26 October 2016, 12:15:55 UTC
Minor update of the references
Minor update of the references
Tip revision: 4677b68
PairCopulaRand.m
function U = PairCopulaRand(family,N,varargin)
%PAIRCOPULARAND Generating (pseudo-)random variables from a pair-copula
% Purpose
% The function draws N pseudo-random 2-dimensional tuples from a
% pair-copula. Possible copula families:
% 0 Indep
% 1 AMH
% 2 AsymFGM
% 3 BB1
% 4 BB6
% 5 BB7
% 6 BB8
% 7 Clayton
% 8 FGM
% 9 Frank
% 10 Gaussian
% 11 Gumbel
% 12 IteratedFGM
% 13 Joe
% 14 PartialFrank
% 15 Plackett
% 16 Tawn1
% 17 Tawn2
% 18 Tawn
% 19 t
%
%
% Usage
% U = CopulaRand(family,N,theta)
% Rotated pair-copulas
% U = CopulaRand(family,N,theta,rotation)
%
%
% Inputs
% family = The copula family.
% N = The number of pseudo-random tuples to be drawn.
% theta = The parameter vector for the pair-copula.
% rotation = The degree of rotation, i.e., either 90, 180 or 270. No
% rotation is achieved by letting the rotation argument
% empty or by choosing 0 rotation.
%
%
% Outputs
% U = (N x 2) Matrix of simulated tuples from the specified
% pair-copula.
%
%
%
% Author: Malte Kurz
% Check the copula parameters.
CheckParameters(family,varargin{1})
if not(isnumeric(family))
families = {'Indep','AMH','AsymFGM','BB1','BB6','BB7','BB8','Clayton','FGM','Frank','Gaussian','Gumbel','IteratedFGM','Joe','PartialFrank','Plackett','Tawn1','Tawn2','Tawn','t'};
if sum(strcmpi(family,families))
family = find(strcmp(family,families))-1;
else
error(['The copula family ' family ' is not implemented'])
end
end
U = zeros(N,2);
if family == 0
SeedState = VineCopulaMatlabSeedState;
[SeedState,U(:,1),U(:,2)] = VineCopulaMatlab(10,SeedState,0,N);
VineCopulaMatlabSeedState(SeedState);
elseif nargin == 4 && not(isempty(varargin{2}))
if not(isnumeric(varargin{2}))
Rotations = {'r90','r180','r270'};
varargin{2} = find(strcmp(varargin{2},Rotations)).*90;
end
SeedState = VineCopulaMatlabSeedState;
[SeedState,U(:,1),U(:,2)] = VineCopulaMatlab(10,SeedState,family,N,varargin{1},varargin{2});
VineCopulaMatlabSeedState(SeedState);
else
SeedState = VineCopulaMatlabSeedState;
[SeedState,U(:,1),U(:,2)] = VineCopulaMatlab(10,SeedState,family,N,varargin{1});
VineCopulaMatlabSeedState(SeedState);
end
end