gendepela {Depela}R Documentation

Generate Copula VAR Time Series

Description

gendepela generate multivariate time series allowing significant richer dependence structure among innovation terms.

Usage

gendepela(N, d, phi, copfamily, theta, bstd)

Arguments

N number of observations
d the order of the VAR system
phi a list containing the value of marginal parameter. The length of each element of this list should be equal
copfamily the family name of the copula. "clayton", "frank", and "gumbel" are supported
theta the value of dependence parameter
bstd a vector containing the values of sd of for each innovation term

Details

The marginal distribution of each disturbance term is normal distribution with mean 0, and sd assgined by bstd. However, their dependence is determined by the assgined copula parameterized by theta.

Value

A data set generated from user-defined depela model.

Examples

##
        # Generate a 50*3 multivariate time series whose innovation terms are contructed from a Gumbel copula.
         dat<-gendepela(50,2,list(c(0.2,0.1),c(0.2,0.11),c(0.2,0.1)),"gumbel",4,rep(1,3))

[Package Depela version 0.0 Index]