VoseCopulaBiT

See also: Copulas in ModelRisk, Bivariate Copula window, Vose Multivariate Copula, Elliptical copulas - Normal and T

{=VoseCopulaBiT(Nu, Correlation)}

Example model

Array function that returns random values from a bivariate T copula.

  • Nu - Number of degrees of freedom. Must be a positive integer.

  • Correlation - linear correlation coefficient. Must be on [-1,1]

The output is an array of two cells, with randomly generated copula density values between [0,1]. Link the U-parameter of distribution functions to these to generate values of these distributions correlated by this copula.

For the multivariate version of this copula see VoseCopulaMultiT.

Note that this copula is symmetric under rotations over 90° so it does not have a direction parameter.

Example: correlating variables with a bivariate copula

For example, to generate a normal(0,1) and a beta(2,1) value correlated by a T(1,0.5) copula, you would do the following:

  • Select the A1 and B1 spreadsheet cells.

  • Type =VoseCopulaBiT(1,0.5) in the Excel formula bar and press CTRL+SHIFT+ENTER - Excel now inserts this as an array function over the two selected cells, indicated by curly brackets.

  • Insert =VoseNormal(0,1,A1) in the cell A2, and =VoseBeta(2,1, B1) in the cell B2. The cell references are U parameters that refer to the copula values generated in the first cell.

  • Now the A2 and B2 cell contain random values correlated by the copula.

VoseFunctions for this copula

VoseCopulaBiT generates values from this distribution or calculates a percentile.

VoseCopulaBiTFit fits this copula to data.

VoseCopulaBiTFitP returns the parameter(s) of this copula fitted to data.

 

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