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Topic: How to generate bivariate time series data with given dependence structure?
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susan_2007

Posts: 2
Registered: 11/30/06
How to generate bivariate time series data with given dependence structure?
Posted: Nov 30, 2006 4:20 PM
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I try to generate the bivariate time series data. Let's say
Yt = A + B*Yt-1 + Vt (1)
Yt=(Y1t, Y2t) is the bivariate time series. If the dependence between Y1t and Y2t are measured by a copula function. H(Y1t, Y2t)=C(F(Y1t),G(Y2t)), where H is the joint distribution function, F anf G are the marginal distribution function. C are the copula function.

My question is:
How to get a series Y1t has the given joint distribution H(Y1t, Y2t)=C(F(Y1t),G(Y2t)) and Yt follow the process of equation (1)?
Thanks for help.

Susan



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