dvinecopula2: Constructor function for dvinecopula2 process

In tscopula: Time Series Copula Models

Constructor function for dvinecopula2 process

Description

This function sets up a stationary d-vine process of finite or infinite order based on a single copula family from a subset of those that can be implemented using bicop_dist in the rvinecopulib package.

Usage

dvinecopula2(
  family = "gauss",
  rotation = 0,
  kpacf = "kpacf_arma",
  pars = list(ar = 0.1, ma = 0.1),
  maxlag = Inf,
  negtau = "none"
)

Arguments

family	family name
rotation	a scalar specifying the rotation (default is 0)
kpacf	a character string giving the name of the Kendall pacf
pars	a list containing the parameters of the model
maxlag	a scalar specifying the maximum lag
negtau	a character string specifying the treatment of negative Kendall's tau values

Details

The copula family may be any one-parameter family or the t copula family. The basic copula from which the sequence is built may be rotated through 180 degrees using the rotation argument; the default is no rotation (0 degrees).

The copulas are parameterized using the Kendall partial autocorrelation function (kpacf) specified by the kpacf argument. The default choice is the kpacf of a standard ARMA process which is implemented in the function kpacf_arma. The parameters of the kpacf should be set as a list using the pars argument; the required parameters should usually be clear from the documentation of the chosen kpacf function and must be correctly named.

If the kpacf takes a negative value at any lag and the standard copula is unable to model a negative dependency (e.g. Clayton, Gumbel, Joe and their 180 degree rotations) then one of four different treatments may be specified using the negtau parameter: "gauss" substitutes a Gaussian copula at that lag; "frank" substitutes a Frank copula; "right" and "left" rotate the copula through 90 degrees in a clockwise or anto-clockwise direction respectively.

The maxlag parameter specifies the maximum lag of the process; a finite number gives a finite-order stationary d-vine process, but the parameter may also be set to Inf for an infinite-order process.

If the t copula is chosen by setting family equal to "t", the list of parameters needs to be augmented with a component named "df" which is the degrees of freedom. In this case it makes sense to set maxlag to be a finite number to avoid models with tail dependencies at arbitrary lags which are not ergodic. The class dvinecopula3 is more suitable for working with t copulas with different degrees of freedom at different lags.

Value

An object of class dvinecopula2.

Examples

dvinecopula2(family = "joe", kpacf = "kpacf_arma",
pars = list(ar = 0.95, ma = -0.85), maxlag = 30)

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