STfit | R Documentation |
STfit
estimates a smooth-transition copula on a bivariate time series
of uniform marginal distributions.
STfit(x, y, family = 1, regimes = 2, initValues = NULL)
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. |
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:
K first parameters of each regime
K second parameters of each regime
(Optional) weight parameter for a mixture copula
K - 1 parameters governing speed of transition
K - 1 location parameters
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 |
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