sarmacopula-class {tscopula} | R Documentation |
SARMA copula processes
Description
Class of objects for seasonal ARMA copula processes.
Usage
## S4 method for signature 'sarmacopula'
coef(object)
## S4 method for signature 'sarmacopula'
show(object)
## S4 method for signature 'sarmacopula'
sim(object, n = 1000)
## S4 method for signature 'sarmacopula'
kendall(object, lagmax = 20)
## S4 method for signature 'sarmacopula'
predict(object, data, x, type = "df")
Arguments
object |
an object of the class. |
n |
length of realization. |
lagmax |
maximum value of lag. |
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). |
Methods (by generic)
-
coef(sarmacopula)
: Coef method for SARMA copula class -
show(sarmacopula)
: Show method for SARMA copula process -
sim(sarmacopula)
: Simulation method for sarmacopula class -
kendall(sarmacopula)
: Calculate Kendall's tau values for sarmacopula model -
predict(sarmacopula)
: Prediction method for sarmacopula class
Slots
name
name of seasonal ARMA copula process.
modelspec
vector containing number of AR, MA, SAR and SMA parameters as well as the order D of seasonal differencing.
pars
list consisting of vector of AR parameters named 'ar' and vector of MA parameters named 'ma', SAR parameters named 'sar' and vector of SMA parameters named 'sma'.
Examples
sim(sarma2arma(sarmacopula(list(ar = 0.5, ma = 0.4, sar = 0.2, sma = 0.6), period = 4)))
mod <- sarmacopula(list(ar = 0.5, ma = 0.4, sar = 0.2, sma = 0.6), period = 4)
kendall(mod)