dvinecopula3: Constructor function for dvinecopula3 process

In tscopula: Time Series Copula Models

Constructor function for dvinecopula3 process

Description

This function sets up a stationary d-vine process of finite or infinite order based on a sequence of Gaussian copulas with a finite number of non-Gaussian substitutions at specified lags. The substituted families can be Gumbel, Clayton, Joe, Frank, t and BB1 copulas as implemented by the bicop_dist in the rvinecopulib package.

Usage

dvinecopula3(
  location = 1,
  family = "gumbel",
  posrot = 0,
  negrot = 90,
  kpacf = "kpacf_arma",
  pars = list(ar = 0.1, ma = 0.1),
  auxpar = NA,
  maxlag = Inf
)

Arguments

location	vector of locations of non-Gaussian copula substitutions
family	vector of family names for non-Gaussian copula substitutions
posrot	vector of rotations for substituted families under positive dependence (default is 0)
negrot	vector of rotations for substituted families under negative dependence (default is 90)
kpacf	a character string giving the name of the Kendall pacf
pars	a list containing the parameters of the model
auxpar	vector of additional parameters for two-parameter copulas
maxlag	a scalar specifying the maximum lag

Details

For the substituted copulas (other than t and Frank) the user must specify the rotation that should be used for positive dependencies (0 or 180) and the rotation that should be used for negative dependencies (90 or 270).

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.

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 one or more of the substituted copulas are t or BB1 copulas the argument auxpar should be used to specify the additional parameters. These are the degree-of-freedom parameter for t and the delta parameter for BB1; the former must be greater or equal 2 and the latter greater or equal 1.

Value

An object of class dvinecopula3.

Examples

dvinecopula3(location = c(1,4), family = c("Gumbel", "clayton"),
posrot = c(0, 180), negrot = c(90, 270), kpacf = "kpacf_arma",
pars = list(ar = 0.95, ma = 0.85), maxlag = 20)

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