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ExtremeTailDep.R
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ExtremeTailDep.R
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#Generates data with extreme tail dependence. Function name
#stands for "extreme tail dependence".
#
#Args
#n Number of points to get
#d Dimension
#rl 1 for right tail dependence, -1 for left tail dependence
#
#Output
#A matrix of dimension n by d, marginals are standard normal.
#
retd<-function(n,d,rl)
{
m<-matrix(rnorm(n*(d+1)),n,d+1)
flag<-(m[,1]>0) #a coin toss
m<-m[,2:(d+1)] #an n by d matrix of iid standard normals
m[flag,]<-rep(abs(m[flag,1]),times=d)
m[!flag,]<-(-abs(m[!flag,]))
if(rl==-1)
{
m<-(-m)
}
return(m)
}
##test
#d<-retd(10000,2,1)
#plot(d[,1],d[,2],type='p')
#hist(d[,1],50)
#hist(d[,2],50)
#
#d<-retd(10000,2,-1)
#plot(d[,1],d[,2],type='p')
#hist(d[,1],50)
#hist(d[,2],50)