genLatentY {CopCTS}

Generation of data from the copula-based Markov model of order one

Description

Generate the latent response variable from the assumed copula-based Markov model in Li, Tang and Wang (2018).

Usage

genLatentY(cop="Gaussian",theta,N,MARGIN.inv=qnorm,...)

Arguments

cop

the choice of copula function. There are currently five available copula funcitons, including Clayton copula, Gaussian copula, Gumbel copula, Joe copula and Frank copula. Specify one from "Clayton","Gaussian","Gumbel","Joe" and "Frank". The default is "Gaussian".

theta

the copula parameter.

N

the length of the latent response.

MARGIN.inv

the inverse marginal distribution function of the latent time series. The default is qnorm(p,mean=0,sd=1), i.e., the standard normal marginal.

...

additional parameters for the inverse marginal distribution funcion of the latent time series.

Value

genLatentY returns a Nx1 vector of the latent response variable Y*

References

Li, F., Tang, Y. and Wang, H. (2018) Copula-based Semiparametric Analysis for Time Series Data with Detection Limits, technical report.