Generate random vector related to another vector through Gumbel copula
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Dear all,
I would like to generate a random vector that is related to another pre-specified vector (say "X", bounded by 0 and 1) through a Gumbel copula. For most other copulas (Clayton, t, Gaussian) this can be achieved through the conditional distribution of the bivariate copula, and one can then simply fix u1 = X in the matlab code for copularnd. However, the conditional distribution of the Gumbel copula cannot be written in explicit form. Matlab uses the Marhsall-Olkin method, but it is unclear to me which part of the algorithm I could adapt in order to generate a vector that is related to X through a Gumbel copula.
Hope someone can help :-)!
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