vtscopula-class: Time series copula processes with v-transforms

In tscopula: Time Series Copula Models

Time series copula processes with v-transforms

Description

Class of objects for v-transformed time series copula processes.

Usage

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

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

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

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

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

Arguments

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

Methods (by generic)

• show: Show method for vtscopula objects

• coef: Coef method for vtscopula class

• predict: Prediction method for vtscopula class

• sim: Simulation method for vtscopula class

• kendall: Calculate Kendall's tau values for vtscopula model

Slots

Vcopula

object of class tscopulaU.

Vtransform

object of class Vtransform.

Wcopula

object of class tscopula.

Examples

copobject <- armacopula(pars = list(ar = 0.6, ma = 0.2))
sim(vtscopula(copobject, Vtransform = V2p()))
mod <- vtscopula(armacopula(list(ar = 0.95, ma = -0.85)))
kendall(mod)

tscopula documentation built on May 7, 2022, 5:06 p.m.