Sir,
I am working on fitting distribution on multivariate financial data and then
simulate observations from that fitted distribution. I use stepAIC.ghyp()
function of 'ghyp' library which select the best fitted distribution from
generalized hyperbolic distribution class on the given dataset.
data(indices)
# Multivariate case:
aic.mv <- stepAIC.ghyp(indices, dist = c("ghyp", "hyp", "t", "gauss"),
symmetric = NULL, control = list(maxit = 500),
silent = TRUE, nit = 500)
summary(aic.mv$best.model)
It fits asymmetic student-t dist. to the data 'indices'. Now, I want to
simulate data from this best fitted distribution. I use
simulate(aic.mv$best.model).
But, it is not working. Can you give me the funtion/code to simulate data
from this best fitted distribution.
Thanks & Regards,
Suman Dhara
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