dvinecopula-class {tscopula}

D-vine copula processes

Description

Class of objects for d-vine copula processes.

Usage

## S4 method for signature 'dvinecopula'
coef(object)

## S4 method for signature 'dvinecopula'
show(object)

## S4 method for signature 'dvinecopula'
sim(object, n = 1000, innov = NA, start = NA)

## S4 method for signature 'dvinecopula'
predict(object, data, x, type = "df")

## S4 method for signature 'dvinecopula'
kendall(object, lagmax = 20)

Arguments

object

an object of the class.

n

length of realization.

innov

vector of innovations of length n.

start

vector of start values with length equal to order of process.

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).

lagmax

maximum value of lag.

Methods (by generic)

• coef(dvinecopula): Coef method for dvinecopula class

• show(dvinecopula): Show method for dvinecopula class

• sim(dvinecopula): Simulation method for dvinecopula class

• predict(dvinecopula): Prediction method for dvinecopula class

• kendall(dvinecopula): Calculate Kendall's tau values for pair copulas in d-vine copula

Slots

name

name of the d-vine copula process.

modelspec

list containing the family, number of parameters and rotations

pars

list comprising of the parameters.

Examples

sim(dvinecopula("gauss", 0.5))
mixmod <- dvinecopula(family = c("gumbel", "gauss"), pars = list(1.5, -0.6))
kendall(mixmod)