qcondvtarma

Conditional quantiles of VT-ARMA process

internal

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

qcondvtarma function

<dl><dt>p</dt>
<dd>point at which quantile should be calculated.</dd>
<dt>tscmmod</dt>
<dd>an object of class tscmfit based on underlying copula
of class armacopula.</dd>
<dt>armamean</dt>
<dd>conditional mean of underlying ARMA process.</dd>
<dt>armasd</dt>
<dd>conditional standard deviation of underlying ARMA process.</dd></dl>

Arguments

Conditional quantiles of VT-ARMA process — qcondvtarma

<dl>

<dt>p</dt>
<dd>point at which quantile should be calculated.</dd>


<dt>tscmmod</dt>
<dd>an object of class tscmfit based on underlying copula
of class armacopula.</dd>


<dt>armamean</dt>
<dd>conditional mean of underlying ARMA process.</dd>


<dt>armasd</dt>
<dd>conditional standard deviation of underlying ARMA process.</dd>

</dl>

qcondvtarma: Conditional quantiles of VT-ARMA process

Description

Usage

Value

Arguments