Generate random samples from a copula family.
- family is the copula family name. Currently, family can be
'Gaussian'for the Gaussian family,
't'for the Student's t family, or
'Clayton'for the Clayton family.
- theta is the parameter of the copula. For the Gaussian and Student's t copula, theta must be a correlation matrix. For bivariate copulas theta can also be a correlation coefficient. For the Clayton family, theta must be a vector with the same number of elements as samples to be generated or be scalar.
- nu is the degrees of freedom for the Student's t family. nu must be a vector with the same number of elements as samples to be generated or be scalar.
- n is the number of rows of the matrix to be generated. n must be a non-negative integer and corresponds to the number of samples to be generated.
- d is the number of columns of the matrix to be generated. d must be a positive integer and corresponds to the dimension of the copula.
- x is a matrix of random samples from the copula with n samples of distribution dimension d.theta = 0.5; x = copularnd ("Gaussian", theta); theta = 0.5; nu = 2; x = copularnd ("t", theta, nu); theta = 0.5; n = 2; x = copularnd ("Clayton", theta, n);
- Roger B. Nelsen. An Introduction to Copulas. Springer, New York, second edition, 2006.