STfit: Smooth-transition copula model.

In LucasDowiak/dynocopula: Implementation of markov switching, smooth transition, and sequential break point copulas

Smooth-transition copula model.

Description

STfit estimates a smooth-transition copula on a bivariate time series of uniform marginal distributions.

Usage

STfit(x, y, family = 1, regimes = 2, initValues = NULL)

Arguments

x	A numeric vector of uniform marginal values.
y	A numeric vector of uniform marginal values.
family	A vector of integers specifying the family of the copula to use.
regimes	An integers specifying how many regimes to estimate.
initValues	Optional starting values. See Details.

Details

For initValues, if the user has specific insight into any distributional changes and wants to provide specific initial parameters, for a model with K regimes the order of the values should be provided as follows:

1. K first parameters of each regime

2. K second parameters of each regime

3. (Optional) weight parameter for a mixture copula

4. K - 1 parameters governing speed of transition

5. K - 1 location parameters

Value

STfit returns an S3 object of class smoothTransCopula.

The summary, plot, coef, and logLik functions will, repectively, print a summarization of the output, a plot of dependence measures, extract model parameters, and extract the log-likelihood values.

An object of class smoothTransCopula has the following components:

log.likelihood	log-likelihood value for the regime
pars	a vector of coefficients for the copula
dep.measures	list containing tail dependence and Kendall's tau
smooth.parameters	matrix of smooth parameter paths
N	the length of the time-series
solver	the output from solnp
copula	details of the estimated copulas in each regime
transition	the transition matrix and initial regime vector
nregimes	the number of regimes in the model

LucasDowiak/dynocopula documentation built on April 28, 2024, 12:34 a.m.