dvinecopula2-class

coef,dvinecopula2-method

show,dvinecopula2-method

sim,dvinecopula2-method

predict,dvinecopula2-method

kendall,dvinecopula2-method

Class of objects for d-vine copula processes. See dvinecopula2 for more details.

Functions for the analysis of time series using copula models.
The package is based on methodology described in the following references.
McNeil, A.J. (2021) <doi:10.3390/risks9010014>,
Bladt, M., & McNeil, A.J. (2021) <doi:10.1016/j.ecosta.2021.07.004>,
Bladt, M., & McNeil, A.J. (2022) <doi:10.1515/demo-2022-0105>.

Alexander McNeil

tscopula

Time Series Copula Models

Martin Bladt

dvinecopula2-class function

<dl><dt>object</dt>
<dd>an object of the class.</dd>
<dt>n</dt>
<dd>length of realization.</dd>
<dt>data</dt>
<dd>vector of past data values.</dd>
<dt>x</dt>
<dd>vector of arguments of prediction function.</dd>
<dt>type</dt>
<dd>type of prediction function ("df" for density, "qf" for quantile function
or "dens" for density).</dd>
<dt>lagmax</dt>
<dd>maximum value of lag.</dd></dl>

Arguments

<ul>
<li><code>coef(dvinecopula2)</code>: Coef Method for dvinecopula2 class</li>
<li><code>show(dvinecopula2)</code>: Show method for dvinecopula2 class</li>
<li><code>sim(dvinecopula2)</code>: Simulation method for dvinecopula2 class</li>
<li><code>predict(dvinecopula2)</code>: Prediction method for dvinecopula2 class</li>
<li><code>kendall(dvinecopula2)</code>: Calculate Kendall's tau values for pair copulas in type 2 d-vine copula</li>
</ul>

Methods (by generic)

<dl>
<dt><code>name</code></dt>
<dd>name of the d-vine copula process.</dd></dl>
<dt><code>modelspec</code></dt>
<dd>list containing the family, rotation, and name of KPACF</dd>
<dt><code>pars</code></dt>
<dd>list comprising of the parameters.</dd>

Slots

D-vine copula processes of type 2 — dvinecopula2-class

<dl>

<dt>object</dt>
<dd>an object of the class.</dd>


<dt>n</dt>
<dd>length of realization.</dd>


<dt>data</dt>
<dd>vector of past data values.</dd>


<dt>x</dt>
<dd>vector of arguments of prediction function.</dd>


<dt>type</dt>
<dd>type of prediction function ("df" for density, "qf" for quantile function
or "dens" for density).</dd>


<dt>lagmax</dt>
<dd>maximum value of lag.</dd>

</dl>

<dl>
<dt><code>name</code></dt>
<dd>name of the d-vine copula process.</dd>


<dt><code>modelspec</code></dt>
<dd>list containing the family, rotation, and name of KPACF</dd>


<dt><code>pars</code></dt>
<dd>list comprising of the parameters.</dd>


</dl>

dvinecopula2-class: D-vine copula processes of type 2

Description

Usage

Arguments

Methods (by generic)

Slots

Examples