tscm-class {tscopula}

Full models

Description

Class of objects for composite time series models consisting of stationary copula processes and marginal distributions.

Usage

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

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

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

## S4 method for signature 'tscm'
predict(object, data, x, type = "df", qtype = 7, proper = FALSE)

## S4 method for signature 'tscm'
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).

qtype

type of empirical quantile estimate.

proper

logical variable stating whether the standard empirical distribution function should be used when the margin is empirical; otherwise an improper distribution that is bounded away from 0 and 1 is used.

lagmax

maximum value of lag.

Methods (by generic)

• show(tscm): Show method for tscm class

• coef(tscm): Coefficient method for tscm class

• sim(tscm): Simulation method for tscm class

• predict(tscm): Prediction method for tscm class

• kendall(tscm): Calculate Kendall's tau values for pair copulas for tscm class

Slots

tscopula

an object of class tscopula.

margin

an object of class margin.

Examples

mod <- tscm(dvinecopula(family = "gauss", pars = 0.5), margin("doubleweibull"))
sim(mod)