SimHMMCop: Simulation of bivariate Markov regime switching copula model

In HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness of Fit

Description

This function simulates observation from a bivariate Markov regime switching copula model

Usage

SimHMMCop(Q, family, KendallTau, n, DoF)

Arguments

Q	Transition probality matrix (d x d);
family	'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel'
KendallTau	Kendall's rank correlation
n	number of simulated vectors
DoF	degree of freedom only for the Student copula

Value

SimData	Simulated Data
MC	Markov chain regimes
alpha	parameters alpha

Examples

Q <- matrix(c(0.8, 0.3, 0.2, 0.7),2,2) ; kendallTau <- c(0.3 ,0.7) ;
simulations <- SimHMMCop(Q, 'gumbel', kendallTau, 300)

HMMcopula documentation built on April 21, 2020, 9:05 a.m.