Re: [R] Sampling two exponentials

From: Zhang Yanwei - Princeton-MRAm <YZhang_at_munichreamerica.com>
Date: Thu, 31 Jul 2008 08:43:30 -0400

Thank you very much.
Would you talk more about that? How can I use the copula package to sample two dependent exponentials? Which function shall I use?

Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling Munich Re America
Tel: 609-275-2176
Email: yzhang_at_munichreamerica.com

-----Original Message-----
From: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org] On Behalf Of Ben Bolker Sent: Wednesday, July 30, 2008 8:40 PM
To: r-help_at_stat.math.ethz.ch
Subject: Re: [R] Sampling two exponentials

Zhang Yanwei - Princeton-MRAm <YZhang <at> munichreamerica.com> writes:

>
> 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.
>

  It's not at all easy, but I'd suggest that you do some reading about copulas (and take a look at the copula package).

  Ben Bolker



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Thu 31 Jul 2008 - 12:56:34 GMT

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