I am trying to do this using the copula library and find a possible way out.
library(copula)
x=mvdc(claytonCopula(.75),c("exp","exp"),list(list(rate=1),list(rate=2)))
x.sample=rmvdc(x,100)
The above code gives a sample with two marginal exponential ditributions. But
what does the first argument claytonCopula(.75) mean? How can one specify the
correlation between these two marginals? Thanks
Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: [EMAIL PROTECTED]
-----Original Message-----
From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Zhang Yanwei -
Princeton-MRAm
Sent: Wednesday, July 30, 2008 5:48 PM
To: r-help@r-project.org
Subject: [R] Sampling two exponentials
Hi all,
I am going to sample two variables from two exponential distributions, but I
want to specify a covariance structure between these two variables. Is there
any way to do it in R? Or is there a "Multivariate Exponential" thing
corresponding to the multivariate normal? Thanks in advance.
Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling Munich Re America
Tel: 609-275-2176
Email: [EMAIL PROTECTED]<mailto:[EMAIL PROTECTED]>
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