VoseCopulaSimulate

See also: VoseSimulate, VoseTimeSimulate, Modeling with objects

=VoseCopulaSimulate(CopulaObject)

 

 

 

Array function that returns random values from a copula object.

  • CopulaObject - a valid copula object

Example

Say you want to correlate a set of 4 variables with a multivariate Clayton copula fitted to an array with historical data called DataSet. You would then write

=VoseCopulaMultiClaytonFitObject(DataSet)

in cell A1. To generate random values from this copula you would then enter the array function

{=VoseCopulaSimulate(A1)}

with output over 4 cells. This returns a set of generated random values (all between 0 and 1) of the copula object. Then you would use these as a U-parameter in distribution functions as explained here.

 

 

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