# dvinecopula-class: D-vine copula processes In tscopula: Time Series Copula Models

 dvinecopula-class R Documentation

## D-vine copula processes

### Description

Class of objects for d-vine copula processes.

### Usage

```## S4 method for signature 'dvinecopula'
coef(object)

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

## S4 method for signature 'dvinecopula'
sim(object, n = 1000, innov = NA, start = NA)

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

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

### Arguments

 `object` an object of the class. `n` length of realization. `innov` vector of innovations of length n. `start` vector of start values with length equal to order of process. `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). `lagmax` maximum value of lag.

### Methods (by generic)

• `coef`: Coef method for dvinecopula class

• `show`: Show method for dvinecopula class

• `sim`: Simulation method for dvinecopula class

• `predict`: Prediction method for dvinecopula class

• `kendall`: Calculate Kendall's tau values for pair copulas in d-vine copula

### Slots

`name`

name of the d-vine copula process.

`modelspec`

list containing the family, number of parameters and rotations

`pars`

list comprising of the parameters.

### Examples

```sim(dvinecopula("gauss", 0.5))
mixmod <- dvinecopula(family = c("gumbel", "gauss"), pars = list(1.5, -0.6))
kendall(mixmod)
```

tscopula documentation built on May 7, 2022, 5:06 p.m.