Class of objects for composite time series models consisting
of stationary copula processes and marginal distributions.
Usage
# S4 method for tscm
show(object)
# S4 method for tscm
coef(object)
# S4 method for tscm
sim(object, n = 1000)
# S4 method for tscm
predict(object, data, x, type = "df", qtype = 7, proper = FALSE)
# S4 method for tscm
kendall(object, lagmax = 20)
Arguments
object
an object of the class.
n
length of realization.
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).
qtype
type of empirical quantile estimate.
proper
logical variable stating whether the standard empirical distribution function should
be used when the margin is empirical; otherwise an improper distribution that is bounded away from 0
and 1 is used.
lagmax
maximum value of lag.
Methods (by generic)
show(tscm): Show method for tscm class
coef(tscm): Coefficient method for tscm class
sim(tscm): Simulation method for tscm class
predict(tscm): Prediction method for tscm class
kendall(tscm): Calculate Kendall's tau values for pair copulas for tscm class