quantile,tscmfit-method

Quantile calculation method for VT-ARMA models

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

quantile,tscmfit-method function

<dl><dt>x</dt>
<dd>an object of class tscmfit based on underlying copula
of class armacopula.</dd>
<dt>alpha</dt>
<dd>a scalar probability value</dd>
<dt>last</dt>
<dd>logical value asserting that only the last volatility
prediction should be returned</dd></dl>

Arguments

Quantile calculation method for VT-ARMA models — quantile,tscmfit-method

<dl>

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


<dt>alpha</dt>
<dd>a scalar probability value</dd>


<dt>last</dt>
<dd>logical value asserting that only the last volatility
prediction should be returned</dd>

</dl>

quantile,tscmfit-method: Quantile calculation method for VT-ARMA models

Description

Usage

Value

Arguments