tsc_objectiveb

Objective function for full fit with v-transform

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

tsc_objectiveb function

<dl><dt>theta</dt>
<dd>vector of parameters</dd>
<dt>fulcrum</dt>
<dd>value for fulcrum</dd>
<dt>modelspec</dt>
<dd>list containing model specification</dd>
<dt>modeltype</dt>
<dd>character vector giving type of model</dd>
<dt>dens</dt>
<dd>marginal density function</dd>
<dt>cdf</dt>
<dd>marginal distribution function</dd>
<dt>vt</dt>
<dd>v-transform</dd>
<dt>wcopula</dt>
<dd>W copula if used</dd>
<dt>y</dt>
<dd>vector of data</dd></dl>

Arguments

Objective function for full fit with v-transform — tsc_objectiveb

<dl>

<dt>theta</dt>
<dd>vector of parameters</dd>


<dt>fulcrum</dt>
<dd>value for fulcrum</dd>


<dt>modelspec</dt>
<dd>list containing model specification</dd>


<dt>modeltype</dt>
<dd>character vector giving type of model</dd>


<dt>dens</dt>
<dd>marginal density function</dd>


<dt>cdf</dt>
<dd>marginal distribution function</dd>


<dt>vt</dt>
<dd>v-transform</dd>


<dt>wcopula</dt>
<dd>W copula if used</dd>


<dt>y</dt>
<dd>vector of data</dd>

</dl>

tsc_objectiveb: Objective function for full fit with v-transform

Description

Usage

Value

Arguments