CorTransform: Transforming the time varying copula parameters
In woraphonyamaka/TVTPcop: Dynamic Copula

Description Usage Arguments Details Value Author(s) References Examples

View source: R/CorTransform.R

This function computes the theoretical tail dependence coefficients, Kendall’s tau value, and l Blomqvist’s beta value of a bivariate copula for given parameter values.

1	CorTransform(dep, family, transform="Tau")

`dep`	the vector of T x 1 dependencey parameter
`family`	Copula function (1=Gaussian, 2=Student-t)
`transform`	The transfomation methods : "Tau" , "Beta", and "Tail"

No

out

time varying correlation measures

Woraphon Yamaka

Schepsmeier, U., Stoeber, J., Brechmann, E. C., Graeler, B., Nagler, T., Erhardt, T., ... & Killiches, M. (2015). Package ‘VineCopula’. R package version, 2(5).

# Example
# Gaussian family =1
model=dynamicnormal(data, z=rOIL, plot=TRUE)
out=CorTransform(dep=model$tvtpdep, family=1, transform="Tau")

# Stundet-t family =2
model1=dynamicT(data, z=rOIL, plot=TRUE)
out2=CorTransform(model1$tvtpdep, family=2, transform="Beta")