gendepela {Depela} | R Documentation |
gendepela
generate multivariate time series allowing significant richer dependence structure among innovation terms.
gendepela(N, d, phi, copfamily, theta, bstd)
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 |
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.
A data set generated from user-defined depela model.
## # 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))