tscopula (version 0.3.9)

tscopulafit-class: Fitted time series copula processes

Description

Class of objects for fitted time series copula processes.

Usage

# S4 method for tscopulafit
sim(object, n = 1000)
# S4 method for tscopulafit
kendall(object, lagmax = 20)
# S4 method for tscopulafit
coef(object)
# S4 method for tscopulafit
show(object)
# S4 method for tscopulafit
logLik(object)
# S4 method for tscopulafit
resid(object, trace = FALSE)
# S4 method for tscopulafit
predict(object, x, type = "df")

Arguments

object

an object of class tscopulafit.

n

length of realization.

lagmax

maximum value of lag.

trace

extract trace instead of residuals.

x

vector of arguments of prediction function.

type

type of prediction function ("df" for density, "qf" for quantile function or "dens" for density).

Methods (by generic)

• sim(tscopulafit): Simulation method for tscopulafit class

• kendall(tscopulafit): Calculate Kendall's tau values for pair copulas for tscopulafit class

• coef(tscopulafit): Coef method for tscopulafit class

• show(tscopulafit): Show method for tscopulafit objects

• logLik(tscopulafit): logLik method for tscopulafit class

• resid(tscopulafit): Residual method for tscopulafit class

• predict(tscopulafit): Prediction method for tscopulafit class

Slots

tscopula

an object of class tscopula.

data

a vector or time series of data.

fit

a list containing details of the fit.

Examples

ar1 <- armacopula(list(ar = 0.7))
data <- sim(ar1, 1000)
ar1fit <- fit(ar1, data)
sim(ar1fit)