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From: Martin Richter on 29 Dec 2009 11:40
Hi

Is there anyone who has build and will share code simulating Clayton n-copula n>2 ?

Martin
From: Martin Richter on 30 Dec 2009 08:42
"Martin Richter" <mar.remove.to.at.ssx(a)atp.dk> wrote in message <hhdbdm$3uq$1(a)fred.mathworks.com>...
> Hi
>
> Is there anyone who has build and will share code simulating Clayton n-copula n>2 ?
>
> Martin

Ok, no input...

This is my solution, indeed it possible to extend letting alpha be a vector of size n, each entry >0 but could be different.

Any comments are welcome.
Martin

%%%%%%%%%%%%%%


function u = claytonrnd(alpha, n, m)
%ClaytonRND Random matrix from a Clayton n-copula.
% U = ClAYTONRND(ALPHA, N, M) returns N random vectors with size Mx1
% (U is a MxN matrix) generated from a Clayton N-Copula with parameters
% alpha>0


v = rand(m, n);
u = v;

if alpha < sqrt(eps)
% Assuming alpha=0, independence, just return the v
else
for j=2:n
beta = -1/alpha - j + 1;
f = sum(u(:,1:j-1).^(-alpha), 2) - j + 2;
u(:,j) = (f.*(v(:,j).^(1/beta) - 1) + 1).^(-1/alpha);
end
end

% end claytonrnd
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