HMMcopula (version 1.0.2)

SimHMMCop: Simulation of bivariate Markov regime switching copula model

Description

This function simulates observation from a bivariate Markov regime switching copula model

Usage

SimHMMCop(Q, family, KendallTau, n, DoF)

Arguments

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

Value

SimData

Simulated Data

MC

Markov chain regimes

alpha

parameters alpha

Examples

# NOT RUN {
Q <- matrix(c(0.8, 0.2, 0.3, 0.7),2,2) ; kendallTau <- c(0.3 ,0.7) ;
simulations <- SimHMMCop(Q, 'gumbel', kendallTau, 300)


# }