Copula.Markov (version 2.9)

Joe.Markov.DATA.binom: Generating Time Series Data Under a Copula-Based Markov Chain Model with the Joe Copula and Binomial Margin.

Description

Time-series data are generated under a copula-based Markov chain model with the Joe copula and binomial margin.

Usage

Joe.Markov.DATA.binom(n, size, prob, alpha)

Arguments

n

number of observations

size

number of binomial trials

prob

binomial probability; 0<p<1

alpha

association parameter

Value

time series data

Details

alpha>=1 for positive association

References

Chen W (2018) Copula-based Markov chain model with binomial data, NCU Library

Huang XW, Emura T (2021-), Computational methods for a copula-based Markov chain model with a binomial time series, in review

Examples

# NOT RUN {
size=50
prob=0.5
alpha=2
set.seed(1)
Y=Joe.Markov.DATA.binom(n=500,size,prob,alpha)
### sample mean and SD ###
mean(Y)
sd(Y)
### true mean and SD ###
size*prob
sqrt(size*prob*(1-prob))
# }