Created
January 29, 2010 22:33
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require(copula) | |
rmvdc.new <- function (mvdc, n) | |
{ | |
dim <- mvdc@copula@dimension | |
u <- rcopula(mvdc@copula, n) | |
x <- u | |
for (i in 1:dim) { | |
if (mvdc@margins[i]=="Johnson") { | |
qdf.expr <- copula:::asCall(copula:::P0("q", mvdc@margins[i]), list(mvdc@paramMargins[[i]])) } else { | |
qdf.expr <- copula:::asCall(copula:::P0("q", mvdc@margins[i]), mvdc@paramMargins[[i]])} | |
x[, i] <- eval(qdf.expr, list(x = u[, i])) | |
} | |
x | |
} | |
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#examples for testing | |
#this is the mvdc example from the documentation... implemented to test the rmvdc.new function | |
gumbel.cop <- gumbelCopula(3, dim=2) | |
myMvd <- mvdc(gumbel.cop, c("exp","exp"), list(list(rate=2),list(rate=4))) | |
x <- rmvdc.new(myMvd, 1000) | |
#this sets up a Johnson example | |
require(SuppDists) | |
require(copula) | |
#create the Johnson mdvc object called myMvdc | |
myMvdc <- new("mvdc" | |
, copula = new("normalCopula" | |
, dispstr = "ex" | |
, getRho = function (obj) | |
{ | |
obj@parameters | |
} | |
, dimension = 2L | |
, parameters = 0.305219345195888 | |
, param.names = "rho.1" | |
, param.lowbnd = -1 | |
, param.upbnd = 1 | |
, message = "Normal copula family" | |
) | |
, margins = c("Johnson", "Johnson") | |
, paramMargins = structure(list(`1` = structure(list(gamma = 0.573499380745508, | |
delta = 1.27550810038738, xi = -0.362694236870908, lambda = 0.901083112899886, | |
type = "SB"), .Names = c("gamma", "delta", "xi", "lambda", | |
"type")), `2` = structure(list(gamma = 0.0897862661272532, delta = 0.95829602909698, | |
xi = -0.0287783693181873, lambda = 0.121685082081697, type = "SU"), .Names = c("gamma", | |
"delta", "xi", "lambda", "type"))), .Names = c("1", "2")) | |
, marginsIdentical = FALSE | |
) | |
#using the rmvdc.new() functions things seem to work | |
rmvdc.new(myMvdc, 10) | |
#but using the reqular rmvdc() they don't | |
rmvdc(myMvdc, 10) |
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