simdvine

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

simdvine function

<dl><dt>pc_list</dt>
<dd>a list of pair copulas.</dd>
<dt>n</dt>
<dd>number of data to be simulated.</dd>
<dt>innov</dt>
<dd>vector of innovations of length n.</dd>
<dt>start</dt>
<dd>vector of start values with length equal to order of process.</dd></dl>

Arguments

D-vine simulation helper function — simdvine

<dl>

<dt>pc_list</dt>
<dd>a list of pair copulas.</dd>


<dt>n</dt>
<dd>number of data to be simulated.</dd>


<dt>innov</dt>
<dd>vector of innovations of length n.</dd>


<dt>start</dt>
<dd>vector of start values with length equal to order of process.</dd>

</dl>

simdvine: D-vine simulation helper function

Description

Usage

Value

Arguments