sarmacopula-class: SARMA copula processes

In tscopula: Time Series Copula Models

SARMA copula processes

Description

Class of objects for seasonal ARMA copula processes.

Usage

## S4 method for signature 'sarmacopula'
coef(object)

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

## S4 method for signature 'sarmacopula'
sim(object, n = 1000)

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

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

Arguments

object	an object of the class.
n	length of realization.
lagmax	maximum value of lag.
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).

Methods (by generic)

• coef(sarmacopula): Coef method for SARMA copula class

• show(sarmacopula): Show method for SARMA copula process

• sim(sarmacopula): Simulation method for sarmacopula class

• kendall(sarmacopula): Calculate Kendall's tau values for sarmacopula model

• predict(sarmacopula): Prediction method for sarmacopula class

Slots

name

name of seasonal ARMA copula process.

modelspec

vector containing number of AR, MA, SAR and SMA parameters as well as the order D of seasonal differencing.

pars

list consisting of vector of AR parameters named 'ar' and vector of MA parameters named 'ma', SAR parameters named 'sar' and vector of SMA parameters named 'sma'.

Examples

sim(sarma2arma(sarmacopula(list(ar = 0.5, ma = 0.4, sar = 0.2, sma = 0.6), period = 4)))
mod <- sarmacopula(list(ar = 0.5, ma = 0.4, sar = 0.2, sma = 0.6), period = 4)
kendall(mod)

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