copulaRandGumbel

copulaRandGumbel(alpha, count)

Returns two-dimensional random vectors that follow a Gumbel Copula dependence structure. Each row of the returned matrix is a two-dimensional sample, and each column follows a uniform distribution over (0, 1).

Gumbel Copula has upper-tail dependence and is used to simulate scenarios where two variables tend to have joint extreme values in the upper quantiles.

alpha is a numeric scalar greater than or equal to 1 indicating the shape parameter. alpha = 1 indicates independence. A larger alpha indicates stronger upper-tail dependence.

count is a positive INT scalar indicating the number of samples to generate.

A DOUBLE matrix with count rows and 2 columns. All values are in the interval (0, 1).

setRandomSeed(seed=20260114)
u = copulaRandGumbel(alpha=2.0, count=5)
shape(u)
// output: 5 :2

min(flatten(u)) > 0 && max(flatten(u)) < 1
// output: true

Related functions: copulaRandGaussian, copulaRandStudent, copulaRandClayton, copulaRandFrank