tscmfit-class

logLik,tscmfit-method

resid,tscmfit-method

predict,tscmfit-method

Class of objects for fitted tscm models.

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

tscmfit-class function

<dl><dt>object</dt>
<dd>an object of the class.</dd>
<dt>trace</dt>
<dd>extract trace instead of residuals.</dd>
<dt>x</dt>
<dd>vector of arguments of prediction function.</dd>
<dt>type</dt>
<dd>type of prediction function ("df" for density, "qf" for quantile function
or "dens" for density).</dd>
<dt>qtype</dt>
<dd>type of empirical quantile estimate.</dd>
<dt>proper</dt>
<dd>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.</dd></dl>

Arguments

<ul>
<li><code>logLik(tscmfit)</code>: method for tscmfit class</li>
<li><code>resid(tscmfit)</code>: Residual method for tscmfit class</li>
<li><code>predict(tscmfit)</code>: Prediction method for tscmfit class</li>
</ul>

Methods (by generic)

<dl>
<dt><code>tscopula</code></dt>
<dd>an object of class tscopula.</dd></dl>
<dt><code>margin</code></dt>
<dd>an object of class margin.</dd>
<dt><code>data</code></dt>
<dd>a vector or time series of data to which process has been fitted.</dd>
<dt><code>fit</code></dt>
<dd>a list containing details of the fit.</dd>

Slots

Fitted tscm model — tscmfit-class

<dl>

<dt>object</dt>
<dd>an object of the class.</dd>


<dt>trace</dt>
<dd>extract trace instead of residuals.</dd>


<dt>x</dt>
<dd>vector of arguments of prediction function.</dd>


<dt>type</dt>
<dd>type of prediction function ("df" for density, "qf" for quantile function
or "dens" for density).</dd>


<dt>qtype</dt>
<dd>type of empirical quantile estimate.</dd>


<dt>proper</dt>
<dd>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.</dd>

</dl>

<dl>
<dt><code>tscopula</code></dt>
<dd>an object of class tscopula.</dd>


<dt><code>margin</code></dt>
<dd>an object of class margin.</dd>


<dt><code>data</code></dt>
<dd>a vector or time series of data to which process has been fitted.</dd>


<dt><code>fit</code></dt>
<dd>a list containing details of the fit.</dd>


</dl>

tscmfit-class: Fitted tscm model

Description

Usage

Arguments

Methods (by generic)

Slots