I have a set of data of 2 variates. I have generated correlation matrix between the variates. Using
copula package of R, I computed t-copula using correlation matrix. I used the following technique for that:
- With the help of correlation matrix for example let it be
corr_mat, I computed parameter vector, lets say
Then I computed
tcopulaobject, let it be
tCopula(param_vect, dim =..., dispstr="un", df =...)
Lastly I simulated 1000 sample from the copula using
The above procedure works fine for t-copula. Can someone please suggest me amethod to simulate samples from the Gaussian and Gumbell copulas? I tried with the
gumbelcopula function, but it fails with errors.
Could anyone one suggest the method to simulate copula using correlation matrix?