Clayton.Markov2.DATA {Copula.Markov}

Generating Time Series Data Under a Copula-Based 2nd-order Markov Chain Model with the Clayton Copula

Description

Time-series data are generated under a copula-based 2nd order Markov chain model with the Clayton copula.

Usage

Clayton.Markov2.DATA(n, mu, sigma, alpha)

Arguments

n

sample size

mu

mean

sigma

standard deviation

alpha

association parameter

Details

-1<alpha<0 for negative association; alpha>0 for positive association

Value

Time series data of size n

Author(s)

Xinwei Huang and Takeshi Emura

References

Huang XW, Emura T (2021), Model diagnostic procedures for copula-based Markov chain models for statistical process control, Communications in Statistics - Simulation and Computation, doi: 50(8):2345-67

Examples

Clayton.Markov2.DATA(n = 100, mu = 0, sigma = 1, alpha = 2)