vtscopula_objective

Objective function for vtscopula fitting

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

vtscopula_objective function

<dl><dt>theta</dt>
<dd>vector of parameters</dd>
<dt>fulcrum</dt>
<dd>fixed value for fulcrum</dd>
<dt>modelspec</dt>
<dd>list containing tscopula specification</dd>
<dt>modeltype</dt>
<dd>character vector specifying tscopula type</dd>
<dt>vt</dt>
<dd>a v transform</dd>
<dt>wcopula</dt>
<dd>W copula for serial dependence</dd>
<dt>y</dt>
<dd>vector of data</dd></dl>

Arguments

Objective function for vtscopula fitting — vtscopula_objective

<dl>

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


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


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


<dt>modeltype</dt>
<dd>character vector specifying tscopula type</dd>


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


<dt>wcopula</dt>
<dd>W copula for serial dependence</dd>


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

</dl>

vtscopula_objective: Objective function for vtscopula fitting

Description

Usage

Value

Arguments