SimCopulaSeries {MixedIndTests}

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