Man pages for tscopula
Time Series Copula Models
| acf2pacf | Compute partial autocorrelations from autocorrelations |
| AICc | Akaike Corrected Information Criterion |
| arma2dvine | Transform an armacopula into a dvinecopula or dvinecopula2... |
| armacopula | Constructor function for ARMA copula process |
| armacopula-class | ARMA copula processes |
| armacopula_objective | Objective function for ARMA copula process |
| armafit2dvine | Transform a fitted armacopula into a fitted dvinecopula or... |
| bitcoin | Bitcoin price data 2016-19 |
| coerce-tscopulafit-tscmfit-method | Convert tscopulafit object to be tscmfit object |
| coerce-tscopula-tscm-method | Convert tscopula object to tscm object |
| cpi | CPI inflation data 1959-2020 |
| dcondvtarma | Conditional density of VT-ARMA process |
| dmarg | Compute density of marginal model |
| doubleweibull | Double Weibull distribution |
| dvinecopula | Constructor function for dvinecopula process |
| dvinecopula2 | Constructor function for dvinecopula2 process |
| dvinecopula2-class | D-vine copula processes of type 2 |
| dvinecopula2_objective | Objective function for dvinecopula2 process |
| dvinecopula3 | Constructor function for dvinecopula3 process |
| dvinecopula3-class | D-vine copula processes of type 3 |
| dvinecopula3_objective | Objective function for dvinecopula3 process |
| dvinecopula-class | D-vine copula processes |
| dvinecopula_objective | Objective function for dvinecopula process |
| edf | Construct empirical margin |
| expand_ar | Expand AR coefficients to include SAR coefficients of SARMA... |
| expand_ma | Expand MA coefficients to include SMA coefficients of SARMA... |
| fit | Generic for estimating time series models |
| fitEDF | Fit tscm using empirical distribution function |
| fitFULLa | Fit tscm jointly |
| fitFULLb | Fit tscm Jointly |
| fit-margin-method | Fit method for margin class |
| fitSTEPS | Fit tscm in two steps |
| fit-tscm-method | Fit method for tscm class |
| fit-tscopulafit-method | Fit method for tscopulafit class |
| fit-tscopulaU-method | Fit method for tscopulaU class |
| fit-vtscopula-method | Fit method for vtscopula class |
| gauss | Gaussian distribution |
| gauss0 | Centred Gaussian distribution |
| glag | Generalized lagging function |
| glag_for_armacopula | Generalized lagging for fitted armacopula objects |
| glag_for_dvinecopula | Generalized lagging for fitted dvinecopula objects |
| glag_for_dvinecopula2 | Generalized lagging for fitted dvinecopula2 objects |
| glag_for_dvinecopula3 | Generalized lagging for fitted dvinecopula3 objects |
| glag_for_sarmacopula | Generalized lagging for fitted sarmacopula objects |
| IRblatt | Calculate inverse Rosenblatt function |
| kendall | Generic for Kendall correlations |
| kfilter | Kalman filter for ARMA copula model |
| kpacf_arfima | KPACF of ARFIMA process |
| kpacf_arma | KPACF of ARMA process |
| kpacf_fbn | KPACF of fractional Brownian noise |
| kpacf_sarma12 | KPACF of monthly seasonal ARMA process |
| kpacf_sarma4 | KPACF of quarterly seasonal ARMA process |
| ktau_to_par | Transform Kendall's tau values to copula parameters |
| laplace | Laplace distribution |
| laplace0 | Centred Laplace distribution |
| margin | Constructor function for margin |
| margin-class | Marginal model for time series |
| marginfit-class | Fitted marginal model for time series |
| mklist_dvine | Make list of pair copulas for dvinecopula object |
| mklist_dvine2 | Make list of pair copulas for dvinecopula2 object |
| mklist_dvine3 | Make list of pair copulas for dvinecopula3 object |
| non_invert | Check for invertibility of ARMA process |
| non_stat | Check for causality of ARMA process |
| pacf2acf | Compute autocorrelations from partial autocorrelations |
| pacf2ar | Compute autoregressive coefficients from partial... |
| pcoincide | Compute coincidence probability for v-transform |
| pcondvtarma | Conditional distribution function of VT-ARMA Process |
| pedf | Adjusted empirical distribution function |
| plot-marginfit-missing-method | Plot method for marginfit class |
| plot-tscmfit-missing-method | Plot method for tscmfit class |
| plot-tscopulafit-missing-method | Plot method for tscopulafit class |
| plot_volprofile | Plot function for volatility profile plot |
| plot_volproxy | Plot function for volatility proxy plot |
| plot-Vtransform-missing-method | Plot method for Vtransform class |
| pmarg | Compute CDF of marginal model |
| predict_empirical | Prediction function for tscm class with empirical margin |
| profilefulcrum | Profile likelihood for fulcrum parameter |
| qcondvtarma | Conditional quantiles of VT-ARMA process |
| qmarg | Compute quantiles of marginal model |
| quantile-tscmfit-method | Quantile calculation method for VT-ARMA models |
| Rblatt | Calculate Rosenblatt function |
| Rblattdens | Calculate Rosenblatt density function |
| resid_armacopula | Residual function for armacopula object |
| resid_dvinecopula | Residual function for dvinecopula object |
| resid_dvinecopula2 | Residual function for dvinecopula2 object |
| resid_dvinecopula3 | Residual function for dvinecopula3 object |
| resid_sarmacopula | Residual function for sarmacopula object |
| safe_ses | Calculate standard errors safely |
| sarma2arma | Transform a sarmacopula object into an armacopula object |
| sarma2dvine | Transform a sarmacopula into a dvinecopula2 object |
| sarmacopula | Constructor function for SARMA copula process |
| sarmacopula-class | SARMA copula processes |
| sarmacopula_objective | Objective function for SARMA copula process |
| sdoubleweibull | Skew double Weibull distribution |
| setoptions | Set optional choices for tscopula fitting |
| setwcopula | Extract W-copula |
| sigmastarma | Standard deviation of innovations for armacopula |
| sim | Generic for simulating time series copula models |
| simdvine | D-vine simulation helper function |
| slaplace | Skew Laplace distribution |
| sst | Skew Student t distribution |
| st | Student t distribution |
| st0 | Centred Student t distribution |
| starmaStateSpace | State space representation for standardized ARMA model |
| stochinverse | Stochastic inverse of a v-transform |
| strank | Calculate standardized ranks of data |
| swncopula | Constructor function for strict white noise copula process |
| swncopula-class | Strict white noise copula process |
| tscm | Constructor function for time series |
| tscm-class | Full models |
| tscmfit-class | Fitted tscm model |
| tsc_objectivea | Objective function for full of tscopula plus margin model |
| tsc_objectiveb | Objective function for full fit with v-transform |
| tscopula-class | Time series copula processes |
| tscopulafit-class | Fitted time series copula processes |
| tscopulaU-class | Time series copulas of class tscopulaU |
| V2b | Constructor function for 2-parameter beta v-transform |
| V2p | Constructor function for 2-parameter v-transform |
| V3b | Constructor function for 3-parameter beta v-transform |
| V3p | Constructor function for 3-parameter v-transform |
| Vdegenerate | Constructor function for degenerate v-transform |
| vdownprob | Calculate conditional down probability of v-transform |
| vgradient | Calculate gradient of v-transform |
| vinverse | Calculate inverse of v-transform |
| Vlinear | Constructor function for linear v-transform |
| Vsymmetric | Constructor function for symmetric v-transform |
| vtparlist | Extract parameters of vtscopula |
| vtrans | Evaluate a v-transform |
| Vtransform-class | Class of v-transforms |
| VtransformI-class | Class of invertible v-transforms |
| vtscopula | Constructor function for vtscopula object |
| vtscopula-class | Time series copula processes with v-transforms |
| vtscopula_objective | Objective function for vtscopula fitting |
| wobjective | Additional objective for generalized processes |
