R: Time Series Copula Models

# Time Series Copula Models

## Documentation for package ‘tscopula’ version 0.3.9

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package README

## Help Pages

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
cpi | CPI inflation data 1959-2020

## -- 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