svines (version 0.2.4)

svinecop_pseudo_residuals: Pseudo-residuals of S-vine copula models

Description

Pseudo-residuals are defined as the Rosenblatt transform of the data, conditional on the past. Under a correctly specified model, they are approximately iid uniform on \([0, 1]^d\).

Usage

svinecop_pseudo_residuals(u, model, cores = 1)

Value

Returns a multivariate time series of pseudo-residuals

Arguments

u

the data; should have approximately uniform margins.

model

model inheriting from class svinecop_dist.

cores

number of cores to use; if larger than one, computations are done in parallel on cores batches .

Examples

# load data set
data(returns)  

# convert to pseudo observations with empirical cdf for marginal distributions
u <- pseudo_obs(returns[1:100, 1:3]) 

# fit parametric S-vine copula model with Markov order 1
fit <- svinecop(u, p = 1, family_set = "parametric")

# compute pseudo-residuals
# (should be independent uniform across variables and time)
v <- svinecop_pseudo_residuals(u, fit)
pairs(cbind(v[-1, ], v[-nrow(v), ]))