SimCopulaSeries: Simulation of a copula-based time series

In MixedIndTests: Tests of Randomness and Tests of Independence

Simulation of a copula-based time series

Description

This function simulates a Markovian time series (p-Markov for the Farlie-Gumbel-Morgenstern copula) with uniform margins using a copula family for the joint distribution of U[t], U[t-1].

Usage

SimCopulaSeries(family, n, tau = 0, param = NULL)

Arguments

family	"ind", "tent", "gaussian", "t" , "clayton", "fgm", "frank", "gumbel", joe" , "plackett"
n	length of the time series
tau	Kendall's tau of the copula family
param	extra copula parameter: for "fgm", param is the dimension of the copula; for "t", param = nu

Value

U	Simulated time series

Author(s)

Bouchra R. Nasri January 2021

References

B.R Nasri (2022). Tests of serial dependence for arbitrary distributions

Examples

U = SimCopulaSeries("fgm",100,0.2, 3) # for the FGM, |tau|<= 2/9

MixedIndTests documentation built on May 29, 2024, 12:19 p.m.