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require(copula)
source(system.file("Rsource", "AC-Liouville.R", package="copula"))
set.seed(271)
<- 1000
n <- 0.59
theta <- 3
d <- rACsimplex(n, d=d, theta=theta, Rdist="Gamma")
U cor(U, method="kendall")
## [,1] [,2] [,3]
## [1,] 1.0000000 0.4212372 0.426967
## [2,] 0.4212372 1.0000000 0.425045
## [3,] 0.4269670 0.4250450 1.000000
par(pty="s")
pairs(U, gap=0, pch=".") # or cex=0.5
See McNeil, Neslehova (2010, Figure 3)
<- 2000
n <- 0.6
theta <- c(1, 5, 20)
alpha <- rLiouville(n, alpha=alpha, theta=theta, Rdist="Gamma")
U cor(U, method="kendall")
## [,1] [,2] [,3]
## [1,] 1.0000000 0.5592676 0.5810015
## [2,] 0.5592676 1.0000000 0.7948264
## [3,] 0.5810015 0.7948264 1.0000000
par(pty="s")
pairs(U, gap=0, pch=".") # or cex=0.5
See McNeil, Neslehova (2010, Figure 4)
<- 1000
n <- 0.59
theta <- c(1, 3, 4)
alpha <- rACLiouville(n, alpha=alpha, theta=theta, family="Clayton")
U cor(U, method="kendall")
## [,1] [,2] [,3]
## [1,] 1.0000000 0.2587668 0.2971211
## [2,] 0.2587668 1.0000000 0.4756156
## [3,] 0.2971211 0.4756156 1.0000000
par(pty="s")
pairs(U, gap=0, pch=".") # or cex=0.5
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