armacopula-class: ARMA copula processes

In tscopula: Time Series Copula Models

ARMA copula processes

Description

Class of objects for ARMA copula processes.

Usage

## S4 method for signature 'armacopula'
coef(object)

## S4 method for signature 'armacopula'
show(object)

## S4 method for signature 'armacopula'
sim(object, n = 1000)

## S4 method for signature 'armacopula'
kendall(object, lagmax = 20)

## S4 method for signature 'armacopula'
predict(object, data, x, type = "df")

Arguments

object	an object of the class.
n	length of realization.
lagmax	maximum value of lag.
data	vector of past data values.
x	vector of arguments of prediction function.
type	type of prediction function ("df" for density, "qf" for quantile function or "dens" for density).

Methods (by generic)

• coef(armacopula): Coef method for ARMA copula class

• show(armacopula): Show method for ARMA copula process

• sim(armacopula): Simulation method for armacopula class

• kendall(armacopula): Calculate Kendall's tau values for armacopula model

• predict(armacopula): Prediction method for armacopula class

Slots

name

name of ARMA copula process.

modelspec

vector containing number of AR and MA parameters.

pars

list consisting of vector of AR parameters named 'ar' and vector of MA parameters named 'ma'.

Examples

sim(armacopula(list(ar = c(0.5, 0.4), ma = -0.8)), n = 1000)
mod <- armacopula(list(ar = 0.95, ma = -0.85))
kendall(mod)

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