vtscopula-class {tscopula} | R Documentation |
Time series copula processes with v-transforms
Description
Class of objects for v-transformed time series copula processes.
Usage
## S4 method for signature 'vtscopula'
show(object)
## S4 method for signature 'vtscopula'
coef(object)
## S4 method for signature 'vtscopula'
predict(object, data, x, type = "df")
## S4 method for signature 'vtscopula'
sim(object, n = 1000)
## S4 method for signature 'vtscopula'
kendall(object, lagmax = 20)
Arguments
object |
an object of the class. |
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). |
n |
length of realization. |
lagmax |
maximum value of lag. |
Methods (by generic)
-
show(vtscopula)
: Show method for vtscopula objects -
coef(vtscopula)
: Coef method for vtscopula class -
predict(vtscopula)
: Prediction method for vtscopula class -
sim(vtscopula)
: Simulation method for vtscopula class -
kendall(vtscopula)
: Calculate Kendall's tau values for vtscopula model
Slots
Vcopula
object of class tscopulaU.
Vtransform
object of class Vtransform.
Wcopula
object of class tscopula.
Examples
copobject <- armacopula(pars = list(ar = 0.6, ma = 0.2))
sim(vtscopula(copobject, Vtransform = V2p()))
mod <- vtscopula(armacopula(list(ar = 0.95, ma = -0.85)))
kendall(mod)
[Package tscopula version 0.3.9 Index]