[R] Sampling two exponentials

Zhang Yanwei - Princeton-MRAm YZhang at munichreamerica.com
Thu Jul 31 14:43:30 CEST 2008

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?

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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