tscopula (version 0.3.9)

armacopula-class: ARMA copula processes

Description

Class of objects for ARMA copula processes.

Usage

# S4 method for armacopula
coef(object)
# S4 method for armacopula
show(object)
# S4 method for armacopula
sim(object, n = 1000)
# S4 method for armacopula
kendall(object, lagmax = 20)
# S4 method for armacopula
predict(object, data, x, type = "df")

Arguments

object

an object of the class.

n

length of realization.

lagmax

maximum value of lag.

data

vector of past data values.

x

vector of arguments of prediction function.

type

type of prediction function ("df" for density, "qf" for quantile function or "dens" for density).

Methods (by generic)

• coef(armacopula): Coef method for ARMA copula class

• show(armacopula): Show method for ARMA copula process

• sim(armacopula): Simulation method for armacopula class

• kendall(armacopula): Calculate Kendall's tau values for armacopula model

• predict(armacopula): Prediction method for armacopula class

Slots

name

name of ARMA copula process.

modelspec

vector containing number of AR and MA parameters.

pars

list consisting of vector of AR parameters named `ar` and vector of MA parameters named `ma`.

Examples

sim(armacopula(list(ar = c(0.5, 0.4), ma = -0.8)), n = 1000)
mod <- armacopula(list(ar = 0.95, ma = -0.85))
kendall(mod)