All Questions
Tagged with simulation copula
44
questions
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Simulate Gaussian copula with negative pair-wise correlations
I am now trying to simulate a multidimensional (let's say 4 dimensions) Gaussian copula. Given software restrictions, I can only use Excel for this simulation. That is why I am trying to implement the ...
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2
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1
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42
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Steps for Forecasting with known copula's parameters
I want to calculate the Mean absolute percentage error (MAPE) for my copula model. I am stuck at the forecasting step. I am not specifying the copula here for different data pairs.
I have two time ...
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4
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Generate nonnegative variates with mean 1 and specified variance-covariance
Problem
In several applications in surveys, it would be helpful to be able to generate a set of $R$ $n$-dimensional variates with the following properties:
Has mean vector $1$
Has a specified ...
- 452
1
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126
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Simulating Correlated Continuous Variable Given 2 Existing Binary Variables
I am looking to draw samples from a Beta distribution (let's say α = 3 and β = 2) conditional on two existing binary variables in a correlated manner.
Let's call the variable distributed as a Beta as <...
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136
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Synthetic multivariate time series for anomaly detection
I built an anomaly detection classifier which worked perfectly with the anomaly detection task in my dataset (multivariate time series). Now I'm trying to understand what are its weakness and my idea ...
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How to forecast from GARCH-copula model?
I am reading to understand how to forecasting time-series data from the GARCH-copula model. I am looking forward to understanding the steps. From my understanding, we should follow the following steps:...
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1
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1
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84
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How to simulate from Nelsen 4.2.12 copula?
I want to simulate a 3 dimensional copula from Nelsen 4.2.12 copula (copula marked as 4.2.12 in Nelsen 2006, page 116). I found an algorithm, which uses partial derivatives, in Nelsen (2006), page 41 ...
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1
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199
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Simulate random variables with "inner" and "outer" correlation
Let us say we have data grouped in $m$ different classes, each of size $n_j$ for $j = 1,...,m$. We denote as $X_k^{(j)}$ the $k$-th member of group $j$. We want to simulate unit-variance random ...
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5
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204
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Generating values from Normal Mixture distributions via copulas
I have some values with unknown joint distribution, but I am assuming that the marginal distributions are two-part Normal Mixtures.
I am modelling the dependency between the distributions via vine-...
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1
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41
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Number of MC Simulations in Multivariate Model with Copulas
I am working on a project with the following characteristics:
4,000 hydroelectricity generation time series
800 futures time series (each corresponding to at least one hydroelectricity time series)
...
- 215
0
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1
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226
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How can I simulate value from a parametric copula using no parametric margins
I know that if you fit your variables with parametric margins (e.g. beta, gamma) we can easily simulate from copula using the function Mvcd and rMvcd in R.but if you want to work with no parametric ...
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How can I simulate a student-t copula in R based on marginals?
I'm trying to simulate the joint distribution of Brent oil prices and an exchange rate to compare it to the empirical distribution. For this, I have been following this article: https://...
1
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0
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How to use bivariate distributions [Year i vs. Year i + 1] to simulate a variable over time in R?
The basic thing I am trying to do is model a person's income over time, using copula functions in R. The data that I have is a bunch of person-level data, which tells us someone's age, their income in ...
3
votes
1
answer
128
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simulation vine copulas
I am trying to simulate the following structure:
$C_{123}(C_{12}(u_1, u_2; \theta_1), u_3; \theta_2)$
I am able to simulate the inner $C_{12}$, I do simply use the method of the conditional copulas.
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85
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Why does correlation changes so much when converting data to pseudo observations for copula fitting?
I'm trying to model the joint distribution of time to failure of 2 (in future possibily more than 2) components. So far what I know is the following:
The marginals of these components are ...
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