dvinecopula2-class {tscopula}

D-vine copula processes of type 2

Description

Class of objects for d-vine copula processes. See dvinecopula2 for more details.

Usage

## S4 method for signature 'dvinecopula2'
coef(object)

## S4 method for signature 'dvinecopula2'
show(object)

## S4 method for signature 'dvinecopula2'
sim(object, n = 1000)

## S4 method for signature 'dvinecopula2'
predict(object, data, x, type = "df")

## S4 method for signature 'dvinecopula2'
kendall(object, lagmax = 20)

Arguments

object

an object of the class.

n

length of realization.

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(dvinecopula2): Coef Method for dvinecopula2 class

• show(dvinecopula2): Show method for dvinecopula2 class

• sim(dvinecopula2): Simulation method for dvinecopula2 class

• predict(dvinecopula2): Prediction method for dvinecopula2 class

• kendall(dvinecopula2): Calculate Kendall's tau values for pair copulas in type 2 d-vine copula

Slots

name

name of the d-vine copula process.

modelspec

list containing the family, rotation, and name of KPACF

pars

list comprising of the parameters.

Examples

copmod <- dvinecopula2(family = "joe", kpacf = "kpacf_arma",
pars = list(ar = 0.95, ma = -0.85), maxlag = 30)
kendall(copmod)