mardi 16 août 2016

R copula: random draws knowing one value

Let C be a Gaussian copula. With the package "copula" in R, I can draw from C. For instance:

C <- matrix(c(1, 0.5, 0.5,
          0.5, 1, 0.5,
          0.5, 0.5, 1),3,3)

normalCopula <- normalCopula(param = c(C[1,2], C[1,3], C[2,3]), dim = 3, dispstr = "un")
draws <- rCopula(100, normalCopula) # 100 random draws

draws is a matrix whose columns are u1, u2 and u3.

But if I know u1 before sampling, is there a way to get u2 and u3 knowing u1 with the package "copula"?




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