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CS2 Ch17 Copulas

R

rlsrachaellouisesmith

Ton up Member
In the course notes and questions we are told that we are simulating a set of u,v that fit the copula distribution.

I understand the idea behind all of it except the accept reject process, can you explain this please?

Many thanks
 
Hello

It is based on the idea of rejection sampling, which is not covered Subject CS2.

Rejection sampling is one way of sampling from trickier distributions. The general idea is that you generate a lot of points from a different distribution with the same support (or one that contains the support of the desired distribution) that is easy to sample from. You then accept or reject each simulation in such a way that the resulting accepted sample reflects sampling from the actual desired distribution.

Andy
 
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