Learn R Programming

tscopula

Time Series Copula Models

This package contains functions for the analysis of time series using copula models. A full description of a strictly stationary time series can be obtained by choosing a univariate marginal distribution and a time series copula process, i.e. a serially dependent process of uniform random variables. Examples of the latter are the copula processes of Gaussian ARMA models and D-vine copula processes. Methods are provided for simulation, estimation and forecasting of time series copula models.

References

McNeil, A.J. (2021). Modelling volatile time series with v-transforms and copulas. Risks, 9(14). https://www.mdpi.com/2227-9091/9/1/14

Bladt, M., & McNeil, A.J. (2021). Time series copula models using d-vines and v-transforms. Econometrics and Statistics. https://www.sciencedirect.com/science/article/pii/S2452306221000800

Bladt, M., & McNeil, A.J. (2022). Time series models with infinite-order partial copula dependence. https://www.degruyter.com/document/doi/10.1515/demo-2022-0105/html

Copy Link

Version

Install

install.packages('tscopula')

Monthly Downloads

215

Version

0.3.9

License

GPL-3

Maintainer

Alexander McNeil

Last Published

February 16th, 2024

Functions in tscopula (0.3.9)

Compute density of marginal model

armacopula_objective

Objective function for ARMA copula process

Double Weibull distribution

dvinecopula2-class

D-vine copula processes of type 2

coerce,tscopula,tscm-method

Convert tscopula object to tscm object

Constructor function for dvinecopula process

coerce,tscopulafit,tscmfit-method

Convert tscopulafit object to be tscmfit object

dvinecopula2_objective

Objective function for dvinecopula2 process

fit,tscopulafit-method

Fit method for tscopulafit class

Constructor function for dvinecopula2 process

dvinecopula-class

D-vine copula processes

dvinecopula3-class

D-vine copula processes of type 3

Construct empirical margin

Centred Gaussian distribution

fit,tscopulaU-method

Fit method for tscopulaU class

Gaussian distribution

Expand AR coefficients to include SAR coefficients of SARMA model

dvinecopula_objective

Objective function for dvinecopula process

CPI inflation data 1959-2020

Expand MA coefficients to include SMA coefficients of SARMA model

glag_for_dvinecopula3

Generalized lagging for fitted dvinecopula3 objects

Conditional density of VT-ARMA process

glag_for_sarmacopula

Generalized lagging for fitted sarmacopula objects

fit,vtscopula-method

Fit method for vtscopula class

KPACF of monthly seasonal ARMA process

KPACF of fractional Brownian noise

Fit tscm Jointly

Centred Laplace distribution

Check for invertibility of ARMA process

Laplace distribution

Compute autocorrelations from partial autocorrelations

Compute autoregressive coefficients from partial autocorrelations

glag_for_dvinecopula

Generalized lagging for fitted dvinecopula objects

Fit tscm in two steps

glag_for_dvinecopula2

Generalized lagging for fitted dvinecopula2 objects

Generic for estimating time series models

fit,margin-method

Fit method for margin class

Check for causality of ARMA process

Constructor function for dvinecopula3 process

Conditional quantiles of VT-ARMA process

Compute quantiles of marginal model

Make list of pair copulas for dvinecopula2 object

predict_empirical

Prediction function for tscm class with empirical margin

Make list of pair copulas for dvinecopula3 object

KPACF of ARFIMA process

plot,marginfit,missing-method

Plot method for marginfit class

dvinecopula3_objective

Objective function for dvinecopula3 process

Stochastic inverse of a v-transform

Skew Laplace distribution

plot,tscmfit,missing-method

Plot method for tscmfit class

starmaStateSpace

State space representation for standardized ARMA model

sarmacopula-class

SARMA copula processes

Transform a sarmacopula into a dvinecopula2 object

KPACF of ARMA process

fit,tscm-method

Fit method for tscm class

Generic for Kendall correlations

Kalman filter for ARMA copula model

Profile likelihood for fulcrum parameter

Time series copula processes

Skew Student t distribution

Calculate gradient of v-transform

Marginal model for time series

KPACF of quarterly seasonal ARMA process

Calculate inverse of v-transform

Transform Kendall's tau values to copula parameters

Objective function for full fit with v-transform

Constructor function for margin

tscopulaU-class

Time series copulas of class tscopulaU

Adjusted empirical distribution function

plot,tscopulafit,missing-method

Plot method for tscopulafit class

Transform a sarmacopula object into an armacopula object

quantile,tscmfit-method

Quantile calculation method for VT-ARMA models

Compute CDF of marginal model

plot,Vtransform,missing-method

Plot method for Vtransform class

Plot function for volatility proxy plot

Fit tscm jointly

plot_volprofile

Plot function for volatility profile plot

resid_sarmacopula

Residual function for sarmacopula object

resid_dvinecopula3

Residual function for dvinecopula3 object

Calculate standard errors safely

Generic for simulating time series copula models

Additional objective for generalized processes

glag_for_armacopula

Generalized lagging for fitted armacopula objects

vtscopula_objective

Objective function for vtscopula fitting

Fit tscm using empirical distribution function

Student t distribution

Generalized lagging function

Constructor function for SARMA copula process

resid_armacopula

Residual function for armacopula object

D-vine simulation helper function

Constructor function for strict white noise copula process

sarmacopula_objective

Objective function for SARMA copula process

Extract W-copula

Objective function for full of tscopula plus margin model

Evaluate a v-transform

Constructor function for vtscopula object

Standard deviation of innovations for armacopula

Centred Student t distribution

vtscopula-class

Time series copula processes with v-transforms

Compute coincidence probability for v-transform

Extract parameters of vtscopula

Constructor function for time series

marginfit-class

Fitted marginal model for time series

Make list of pair copulas for dvinecopula object

Fitted tscm model

Conditional distribution function of VT-ARMA Process

Skew double Weibull distribution

swncopula-class

Strict white noise copula process

resid_dvinecopula

Residual function for dvinecopula object

resid_dvinecopula2

Residual function for dvinecopula2 object

Calculate standardized ranks of data

tscopulafit-class

Fitted time series copula processes

Calculate conditional down probability of v-transform

Set optional choices for tscopula fitting

Akaike Corrected Information Criterion

Constructor function for 2-parameter beta v-transform

Constructor function for 3-parameter v-transform

Constructor function for 3-parameter beta v-transform

VtransformI-class

Class of invertible v-transforms

Vtransform-class

Class of v-transforms

Calculate Rosenblatt density function

Constructor function for degenerate v-transform

Constructor function for 2-parameter v-transform

Constructor function for linear v-transform

Constructor function for ARMA copula process

Constructor function for symmetric v-transform

Compute partial autocorrelations from autocorrelations

Calculate inverse Rosenblatt function

Calculate Rosenblatt function

Transform a fitted armacopula into a fitted dvinecopula or dvinecopula2 object

Transform an armacopula into a dvinecopula or dvinecopula2 object

Bitcoin price data 2016-19

armacopula-class

ARMA copula processes