Simulate from a S-vine model

Simulate from a S-vine model

Usage

svine_sim(n, rep, model, past = NULL, qrng = FALSE, cores = 1)

Arguments

n

how many steps of the time series to simulate.

rep

number of replications; rep time series of length n are generated.

model

a S-vine copula model object (inheriting from svinecop_dist).

past

(optional) matrix of past observations. If provided, time series are simulated conditional on the past.

qrng

if TRUE, generates quasi-random numbers using the multivariate Generalized Halton sequence up to dimension 300 and the Generalized Sobol sequence in higher dimensions (default qrng = FALSE).

cores

number of cores to use; if larger than one, computations are done parallel over replications.

Value

An n-by-d-byrep array, where d is the cross-sectional dimension of the model. This reduces to an n-by-d matrix if rep == 1.

Examples

# load data set
data(returns)  
returns <- returns[1:100, 1:3]

# fit parametric S-vine model with Markov order 1
fit <- svine(returns, p = 1, family_set = "parametric")

pairs(returns)  # original data

pairs(svine_sim(100, rep = 1, model = fit))   # simulated data


# simulate the next day conditionally on the past 500 times
pairs(t(svine_sim(1, rep = 100, model = fit, past = returns)[1, , ]))