Rblatt: Calculate Rosenblatt function

In tscopula: Time Series Copula Models

Calculate Rosenblatt function

Description

Evaluates the Rosenblatt function for a sequence of pair copulas extracted from an object of class dvinecopula or dvinecopula2.

Usage

Rblatt(pc_list, data, x)

Arguments

pc_list	a list of pair copulas.
data	vector of past data values in order of occurrence.
x	vector of arguments of Rosenblatt function.

Details

To set up the pair copula list, use the functions mklist_dvine for objects of class dvinecopula or mklist_dvine2 for objects of class dvinecopula2.

The vector data containing the past values of the time series must have at least as many elements as the list of pair copulas in pc_list. The elements of data should be in (0,1) and the elements of x in [0,1].

Value

a vector of values with same length as x.

tscopula documentation built on May 29, 2024, 5:53 a.m.