dvinecopula: Constructor function for dvinecopula process

In tscopula: Time Series Copula Models

Constructor function for dvinecopula process

Description

This function sets up a stationary d-vine process of finite order where the elements of the (finite-length) copula sequence may be any copulas that can be implemented using bicop_dist in the rvinecopulib package.

Usage

dvinecopula(family = "indep", pars = list(NULL), rotation = 0)

Arguments

family	a vector of family names
pars	a list containing the parameters of the copula at each lag
rotation	a vector of rotations

Details

Copulas may also be rotated through 90, 180 and 270 degrees. If the same family or same rotation is to be used at every lag, these arguments may be scalars. The pars argument must be a list with the same length as the copula sequence.

If a t copula is included, the correlation parameter precedes the degrees of freedom in the parameter vector. This copula should be referred to as "t" rather than "Student".

Value

An object of class dvinecopula.

Examples

dvinecopula(family = c("joe", "gauss", "t"), pars = list(3, .5, c(0.4, 4)), rotation = c(180, 0, 0))

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