Clayton.Markov2.DATA {Copula.Markov} | R Documentation |
Time-series data are generated under a copula-based 2nd order Markov chain model with the Clayton copula.
Clayton.Markov2.DATA(n, mu, sigma, alpha)
n |
sample size |
mu |
mean |
sigma |
standard deviation |
alpha |
association parameter |
-1<alpha<0 for negative association; alpha>0 for positive association
Time series data of size n
Xinwei Huang and Takeshi Emura
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
Clayton.Markov2.DATA(n = 100, mu = 0, sigma = 1, alpha = 2)