dvinecopula-class: D-vine copula processes

In tscopula: Time Series Copula Models

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.