Clayton.Markov2.DATA: Generating Time Series Data Under a Copula-Based 2nd-order...

In Copula.Markov: Copula-Based Estimation and Statistical Process Control for Serially Correlated Time Series

Description

Time-series data are generated under a copula-based 2nd order Markov chain model with the Clayton copula.

Usage

Clayton.Markov2.DATA(n, mu, sigma, alpha)

Arguments

n	sample size
mu	mean
sigma	standard deviation
alpha	association parameter

Details

-1<alpha<0 for negative association; alpha>0 for positive association

Value

Time series data of size n

Author(s)

Xinwei Huang and Takeshi Emura

References

Huang XW, Emura T (2021), Model diagnostic procedures for copula-based Markov chain models for statistical process control, Communications in Statistics - Simulation and Computation, doi: 50(8):2345-67

Examples

Clayton.Markov2.DATA(n = 100, mu = 0, sigma = 1, alpha = 2)

Example output

  [1]  0.890634694  0.433614310  0.923479610  1.290051991  0.970212939
  [6]  0.390599219  0.008801642 -0.786856193 -0.248620476  0.204025708
 [11]  0.161088661 -0.292713309  0.999470985  1.107765431  0.657864913
 [16]  0.401147622  0.543075432  0.765075189  0.826635791  0.894518066
 [21] -0.160699275  0.191103717 -0.189501827  0.228347102  0.354891141
 [26]  1.163937674  0.417025450  1.461677976  1.163867246  0.313586198
 [31]  0.034262243  0.111633099  0.273948931  0.385890410  1.602075582
 [36] -0.129074876 -0.481202364  0.117677967 -0.215385687  2.050607870
 [41] -0.529168595 -0.899328960 -0.931089309 -1.039449417  0.296668415
 [46] -0.559827820  0.051929316 -0.079079639 -0.221127750  0.178911145
 [51] -1.040375999 -0.648312547 -0.941608119 -0.950431748 -0.831064343
 [56] -0.621635876 -0.509960702  0.581282352  0.214824376  0.846371830
 [61]  0.143925243  0.351495335 -0.044873242  0.287816697 -0.618804185
 [66] -0.665982953 -0.420483245 -0.947375270 -0.210787421  0.020546700
 [71] -0.047938451  0.486142002 -0.424087258  0.017769005  0.122374856
 [76]  0.932198788  0.525299918  0.565035367  1.234208510  0.063214830
 [81]  0.077341885  1.803988468 -0.543568746 -0.891375455 -0.468973075
 [86]  0.155635126 -0.263303126 -0.374102482  0.051559193 -0.781769134
 [91] -0.766260846 -0.122243947 -0.679384605  0.036517603 -0.365215410
 [96] -0.250533900  0.680293048  0.750635877  0.734357879 -0.053557276

Copula.Markov documentation built on Nov. 29, 2021, 9:07 a.m.