Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (tau1,tau2) and for all k


For each lag k = 0, ..., maxLag and combination of levels (tau1, tau2) from levels.1 x levels.2 the statistic

\frac{1}{n} ∑_{t=1}^{n-k} ( I\{\hat F_n(Y_t) ≤q τ_1\} - τ_1) ( I\{\hat F_n(Y_{t+k}) ≤q τ_2\} - τ_2)

is determined and stored to the array values.


Currently, the implementation of this class allows only for the analysis of univariate time series.

Want to suggest features or report bugs for Use the GitHub issue tracker.