stochinverse

Stochastic inverse of a v-transform

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

stochinverse function

<dl><dt>x</dt>
<dd>an object of class Vtransform.</dd>
<dt>v</dt>
<dd>a vector, matrix or time series with values in [0, 1].</dd>
<dt>tscopula</dt>
<dd>a time series copula object.</dd>
<dt>tol</dt>
<dd>the desired accuracy (convergence tolerance) that is passed to
<code>uniroot</code> if numerical inversion is used.</dd></dl>

Arguments

Stochastic inverse of a v-transform — stochinverse

<dl>

<dt>x</dt>
<dd>an object of class Vtransform.</dd>


<dt>v</dt>
<dd>a vector, matrix or time series with values in [0, 1].</dd>


<dt>tscopula</dt>
<dd>a time series copula object.</dd>


<dt>tol</dt>
<dd>the desired accuracy (convergence tolerance) that is passed to
<code>uniroot</code> if numerical inversion is used.</dd>

</dl>

stochinverse: Stochastic inverse of a v-transform

Description

Usage

Value

Arguments

Examples