SimHMMCop {HMMcopula} | R Documentation |
Simulaion of values from a bivariate Markov regime switching copula model
SimHMMCop(Q, family, KendallTau, n, DoF)
Q |
Transition probality matrix (d x d); |
family |
'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel' |
KendallTau |
Kendall's rank correlation |
n |
number of simulated vectors |
DoF |
degree of freedom only for the Student copula |
SimData |
Simulated Data |
MC |
Markov chain regimes |
alpha |
parameters alpha |
Q <- matrix(c(0.8, 0.3, 0.2, 0.7),2,2) ; kendallTau <- c(0.3 ,0.7) ;
simulations <- SimHMMCop(Q, 'gumbel', kendallTau, 300)