Time Series Copula Models

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Documentation for package ‘tscopula’ version 0.3.9

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A B C D E F G K L M N P Q R S T V

-- A --

acf2pacf Compute partial autocorrelations from autocorrelations
AICc Akaike Corrected Information Criterion
arma2dvine Transform an armacopula into a dvinecopula or dvinecopula2 object
armacopula Constructor function for ARMA copula process
armacopula-class ARMA copula processes
armafit2dvine Transform a fitted armacopula into a fitted dvinecopula or dvinecopula2 object

-- B --

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-- C --

coef-method Class of v-transforms
coef-method ARMA copula processes
coef-method D-vine copula processes
coef-method D-vine copula processes of type 2
coef-method D-vine copula processes of type 3
coef-method Marginal model for time series
coef-method SARMA copula processes
coef-method Strict white noise copula process
coef-method Full models
coef-method Fitted time series copula processes
coef-method Time series copula processes with v-transforms
coerce-method Convert tscopula object to tscm object
coerce-method Convert tscopulafit object to be tscmfit object
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-- D --

ddoubleweibull Double Weibull distribution
dgauss Gaussian distribution
dgauss0 Centred Gaussian distribution
dlaplace Laplace distribution
dlaplace0 Centred Laplace distribution
dmarg Compute density of marginal model
doubleweibull Double Weibull distribution
dsdoubleweibull Skew double Weibull distribution
dslaplace Skew Laplace distribution
dsst Skew Student t distribution
dst Student t distribution
dst0 Centred Student t distribution
dvinecopula Constructor function for dvinecopula process
dvinecopula-class D-vine copula processes
dvinecopula2 Constructor function for dvinecopula2 process
dvinecopula2-class D-vine copula processes of type 2
dvinecopula3 Constructor function for dvinecopula3 process
dvinecopula3-class D-vine copula processes of type 3

-- E --

edf Construct empirical margin

-- F --

fit Generic for estimating time series models
fit-method Fit method for margin class
fit-method Fit method for tscm class
fit-method Fit method for tscopulaU class
fit-method Fit method for tscopulafit class
fit-method Fit method for vtscopula class

-- G --

gauss Gaussian distribution
gauss0 Centred Gaussian distribution
glag Generalized lagging function

-- K --

kendall Generic for Kendall correlations
kendall-method ARMA copula processes
kendall-method D-vine copula processes
kendall-method D-vine copula processes of type 2
kendall-method D-vine copula processes of type 3
kendall-method SARMA copula processes
kendall-method Full models
kendall-method Fitted time series copula processes
kendall-method Time series copula processes with v-transforms
kfilter Kalman filter for ARMA copula model
kpacf_arfima KPACF of ARFIMA process
kpacf_arma KPACF of ARMA process
kpacf_fbn KPACF of fractional Brownian noise
kpacf_sarma12 KPACF of monthly seasonal ARMA process
kpacf_sarma4 KPACF of quarterly seasonal ARMA process

-- L --

laplace Laplace distribution
laplace0 Centred Laplace distribution
logLik-method Fitted marginal model for time series
logLik-method Fitted tscm model
logLik-method Fitted time series copula processes

-- M --

margin Constructor function for margin
margin-class Marginal model for time series
marginfit-class Fitted marginal model for time series

-- N --

non_invert Check for invertibility of ARMA process
non_stat Check for causality of ARMA process

-- P --

pacf2acf Compute autocorrelations from partial autocorrelations
pacf2ar Compute autoregressive coefficients from partial autocorrelations
pcoincide Compute coincidence probability for v-transform
pdoubleweibull Double Weibull distribution
pedf Adjusted empirical distribution function
pgauss Gaussian distribution
pgauss0 Centred Gaussian distribution
plaplace Laplace distribution
plaplace0 Centred Laplace distribution
plot-method Plot method for Vtransform class
plot-method Plot method for marginfit class
plot-method Plot method for tscmfit class
plot-method Plot method for tscopulafit class
pmarg Compute CDF of marginal model
predict-method ARMA copula processes
predict-method D-vine copula processes
predict-method D-vine copula processes of type 2
predict-method D-vine copula processes of type 3
predict-method SARMA copula processes
predict-method Full models
predict-method Fitted tscm model
predict-method Fitted time series copula processes
predict-method Time series copula processes with v-transforms
profilefulcrum Profile likelihood for fulcrum parameter
psdoubleweibull Skew double Weibull distribution
pslaplace Skew Laplace distribution
psst Skew Student t distribution
pst Student t distribution
pst0 Centred Student t distribution

-- Q --

qdoubleweibull Double Weibull distribution
qgauss Gaussian distribution
qgauss0 Centred Gaussian distribution
qlaplace Laplace distribution
qlaplace0 Centred Laplace distribution
qmarg Compute quantiles of marginal model
qsdoubleweibull Skew double Weibull distribution
qslaplace Skew Laplace distribution
qsst Skew Student t distribution
qst Student t distribution
qst0 Centred Student t distribution
quantile-method Quantile calculation method for VT-ARMA models

-- R --

rdoubleweibull Double Weibull distribution
resid-method Fitted tscm model
resid-method Fitted time series copula processes
rgauss Gaussian distribution
rgauss0 Centred Gaussian distribution
rlaplace Laplace distribution
rlaplace0 Centred Laplace distribution
rsdoubleweibull Skew double Weibull distribution
rslaplace Skew Laplace distribution
rsst Skew Student t distribution
rst Student t distribution
rst0 Centred Student t distribution

-- S --

safe_ses Calculate standard errors safely
sarma2arma Transform a sarmacopula object into an armacopula object
sarma2dvine Transform a sarmacopula into a dvinecopula2 object
sarmacopula Constructor function for SARMA copula process
sarmacopula-class SARMA copula processes
sdoubleweibull Skew double Weibull distribution
show-method Class of v-transforms
show-method ARMA copula processes
show-method D-vine copula processes
show-method D-vine copula processes of type 2
show-method D-vine copula processes of type 3
show-method Marginal model for time series
show-method SARMA copula processes
show-method Strict white noise copula process
show-method Full models
show-method Fitted time series copula processes
show-method Time series copula processes with v-transforms
sigmastarma Standard deviation of innovations for armacopula
sim Generic for simulating time series copula models
sim-method ARMA copula processes
sim-method D-vine copula processes
sim-method D-vine copula processes of type 2
sim-method D-vine copula processes of type 3
sim-method Marginal model for time series
sim-method SARMA copula processes
sim-method Strict white noise copula process
sim-method Full models
sim-method Fitted time series copula processes
sim-method Time series copula processes with v-transforms
slaplace Skew Laplace distribution
sst Skew Student t distribution
st Student t distribution
st0 Centred Student t distribution
stochinverse Stochastic inverse of a v-transform
strank Calculate standardized ranks of data
swncopula Constructor function for strict white noise copula process
swncopula-class Strict white noise copula process

-- T --

tscm Constructor function for time series
tscm-class Full models
tscmfit-class Fitted tscm model
tscopula-class Time series copula processes
tscopulafit-class Fitted time series copula processes
tscopulaU-class Time series copulas of class tscopulaU

-- V --

V2b Constructor function for 2-parameter beta v-transform
V2p Constructor function for 2-parameter v-transform
V3b Constructor function for 3-parameter beta v-transform
V3p Constructor function for 3-parameter v-transform
Vdegenerate Constructor function for degenerate v-transform
vdownprob Calculate conditional down probability of v-transform
vgradient Calculate gradient of v-transform
vinverse Calculate inverse of v-transform
Vlinear Constructor function for linear v-transform
Vsymmetric Constructor function for symmetric v-transform
vtrans Evaluate a v-transform
Vtransform-class Class of v-transforms
VtransformI-class Class of invertible v-transforms
vtscopula Constructor function for vtscopula object
vtscopula-class Time series copula processes with v-transforms