| dvinecopula {tscopula} | R Documentation |
Constructor function for dvinecopula process
Description
This function sets up a stationary d-vine process of finite order where the elements of
the (finite-length) copula sequence may be any copulas that can be implemented using
bicop_dist in the rvinecopulib package.
Usage
dvinecopula(family = "indep", pars = list(NULL), rotation = 0)
Arguments
family |
a vector of family names |
pars |
a list containing the parameters of the copula at each lag |
rotation |
a vector of rotations |
Details
Copulas may also be rotated through 90, 180 and 270 degrees. If the
same family or same rotation is to be used at every lag, these arguments may be scalars.
The pars argument must be a list with the same length as the copula sequence.
If a t copula is included, the correlation parameter precedes the degrees of freedom in the parameter vector. This copula should be referred to as "t" rather than "Student".
Value
An object of class dvinecopula.
Examples
dvinecopula(family = c("joe", "gauss", "t"), pars = list(3, .5, c(0.4, 4)), rotation = c(180, 0, 0))