Class of objects for seasonal ARMA copula processes.
Usage
# S4 method for sarmacopula
coef(object)
# S4 method for sarmacopula
show(object)
# S4 method for sarmacopula
sim(object, n = 1000)
# S4 method for sarmacopula
kendall(object, lagmax = 20)
# S4 method for sarmacopula
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(sarmacopula): Coef method for SARMA copula class
show(sarmacopula): Show method for SARMA copula process
sim(sarmacopula): Simulation method for sarmacopula class
kendall(sarmacopula): Calculate Kendall's tau values for sarmacopula model
predict(sarmacopula): Prediction method for sarmacopula class
Slots
name
name of seasonal ARMA copula process.
modelspec
vector containing number of AR, MA, SAR and SMA parameters as well
as the order D of seasonal differencing.
pars
list consisting of vector of AR parameters named `ar`
and vector of MA parameters named `ma`, SAR parameters named `sar`
and vector of SMA parameters named `sma`.
sim(sarma2arma(sarmacopula(list(ar = 0.5, ma = 0.4, sar = 0.2, sma = 0.6), period = 4)))
mod <- sarmacopula(list(ar = 0.5, ma = 0.4, sar = 0.2, sma = 0.6), period = 4)
kendall(mod)