dvinecopula3-class

coef,dvinecopula3-method

kendall,dvinecopula3-method

show,dvinecopula3-method

sim,dvinecopula3-method

predict,dvinecopula3-method

Class of objects for d-vine copula processes. See dvinecopula3 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

dvinecopula3-class function

<dl><dt>object</dt>
<dd>an object of the class.</dd>
<dt>lagmax</dt>
<dd>maximum value of lag.</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></dl>

Arguments

<ul>
<li><code>coef(dvinecopula3)</code>: Coef Method for dvinecopula3 class</li>
<li><code>kendall(dvinecopula3)</code>: Calculate Kendall's tau values for pair copulas in type 3 d-vine copula</li>
<li><code>show(dvinecopula3)</code>: Show method for dvinecopula3 class</li>
<li><code>sim(dvinecopula3)</code>: Simulation method for dvinecopula3 class</li>
<li><code>predict(dvinecopula3)</code>: Prediction method for dvinecopula2 class</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 3 — dvinecopula3-class

<dl>

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


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

</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>

dvinecopula3-class: D-vine copula processes of type 3

Description

Usage

Arguments

Methods (by generic)

Slots