Package: tscopula 0.4.7

tscopula: Time Series Copula Models

Functions for the analysis of time series using copula models. The package is based on methodology described in the following references. McNeil, A.J. (2021) <doi:10.3390/risks9010014>, Bladt, M., & McNeil, A.J. (2021) <doi:10.1016/j.ecosta.2021.07.004>, Bladt, M., & McNeil, A.J. (2022) <doi:10.1515/demo-2022-0105>.

Authors:Alexander McNeil [aut, cre], Martin Bladt [aut]

tscopula_0.4.7.tar.gz
tscopula_0.4.7.zip(r-4.7)tscopula_0.4.7.zip(r-4.6)tscopula_0.4.7.zip(r-4.5)
tscopula_0.4.7.tgz(r-4.6-any)tscopula_0.4.7.tgz(r-4.5-any)
tscopula_0.4.7.tar.gz(r-4.7-any)tscopula_0.4.7.tar.gz(r-4.6-any)
tscopula_0.4.7.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
tscopula/json (API)

# Install 'tscopula' in R:

install.packages('tscopula', repos = c('https://ajmcneil.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/ajmcneil/tscopula/issues

Datasets:

bitcoin - Bitcoin price data 2016-19
cpi - CPI inflation data 1959-2020

On CRAN:

5.21 score 2 stars 41 scripts 240 downloads 123 exports 72 dependencies

Last updated from:c7a574316e. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	145
source / vignettes	OK	356
linux-release-x86_64	OK	168
macos-release-arm64	OK	147
macos-oldrel-arm64	OK	142
windows-devel	OK	133
windows-release	OK	103
windows-oldrel	OK	120
wasm-release	OK	151

Exports:acf2pacf AICc arma2dvine armacopula armafit2dvine armavec2list auto_dvine coef coerce ddoubleweibull dgauss dgauss0 dgh dhyp djsu dlaplace dlaplace0 dmarg dnig dsdoubleweibull dslaplace dsst dst dst0 dvinecopula dvinecopula2 dvinecopula3 dvinecopulavt edf fit glag kendall kfilter kpacf_arfima kpacf_arma kpacf_fbn kpacf_sarma12 kpacf_sarma4 logLik margin non_invert non_stat pacf2acf pacf2ar pcoincide pdoubleweibull pedf pgauss pgauss0 pgh phyp pjsu plaplace plaplace0 plot pmarg pnig predict profilefulcrum psdoubleweibull pslaplace psst pst pst0 qdoubleweibull qgauss qgauss0 qgh qhyp qjsu qlaplace qlaplace0 qmarg qnig qsdoubleweibull qslaplace qsst qst qst0 quantile rdoubleweibull resid rgauss rgauss0 rgh rhyp rjsu rlaplace rlaplace0 rnig rsdoubleweibull rslaplace rsst rst rst0 safe_ses sarma2arma sarma2dvine sarmacopula sarmavec2list sdvinecopula setwcopula show sigmastarma sim stochinverse strank swncopula tscm V2b V2p V3b V3p Vdegenerate vdownprob vgradient vinverse Vlinear Vsymmetric vtparlist vtrans vtscopula vtscopula_objective

Dependencies:actuar ADGofTest arfima assertthat bbmle bdsmatrix BH cli cluster colorspace copula cvar expint extraDistr fastICA fBasics fGarch FKF gbutils ghyp glue gsl gss GUILDS intervals kde1d kdensity lattice lifecycle logitnorm ltsa magrittr MASS Matrix mvtnorm nakagami nloptr numDeriv pcaPP pillar pkgconfig poilog polynom poweRlaw pracma pspline randtoolbox rbibutils Rcpp RcppArmadillo RcppEigen RcppParallel RcppThread Rdpack Rfast rlang rngWELL rvinecopulib sads spatial stabledist tibble timeDate timeSeries univariateML utf8 vctrs VGAM wdm xts zigg zoo

Basic Time Series Copula Processes

Rendered fromtscopulas.Rmdusingknitr::rmarkdown

Last update: 2025-02-20
Started: 2021-06-29

Bitcoin Analysis

Rendered frombitcoin.Rmdusingknitr::rmarkdown

Last update: 2025-02-20
Started: 2021-01-11

Copula Processes with V-Transforms

Rendered fromvtscopulas.Rmdusingknitr::rmarkdown

Last update: 2025-02-20
Started: 2021-06-29

Models with Margins

Rendered fromtscm_models.Rmdusingknitr::rmarkdown

Last update: 2025-02-20
Started: 2021-01-11

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Compute partial autocorrelations from autocorrelations	acf2pacf
Akaike Corrected Information Criterion	AICc
Transform an armacopula into a dvinecopula or dvinecopula2 object	arma2dvine
Constructor function for ARMA copula process	armacopula
ARMA copula processes	armacopula-class coef,armacopula-method kendall,armacopula-method predict,armacopula-method show,armacopula-method sim,armacopula-method
Transform a fitted armacopula into a fitted dvinecopula or dvinecopula2 object	armafit2dvine
Turn vector of ARMA parameters into list	armavec2list
Automatic estimation of stationary d-vine copula with Gaussian base family	auto_dvine
Bitcoin price data 2016-19	bitcoin
Convert tscopula object to tscm object	coerce,tscopula,tscm-method
Convert tscopulafit object to be tscmfit object	coerce,tscopulafit,tscmfit-method
CPI inflation data 1959-2020	cpi
Compute density of marginal model	dmarg
Double Weibull distribution	ddoubleweibull doubleweibull pdoubleweibull qdoubleweibull rdoubleweibull
Constructor function for dvinecopula process	dvinecopula
D-vine copula processes	coef,dvinecopula-method dvinecopula-class kendall,dvinecopula-method predict,dvinecopula-method show,dvinecopula-method sim,dvinecopula-method
Constructor function for dvinecopula2 process	dvinecopula2
D-vine copula processes of type 2	coef,dvinecopula2-method dvinecopula2-class kendall,dvinecopula2-method predict,dvinecopula2-method show,dvinecopula2-method sim,dvinecopula2-method
Constructor function for dvinecopula3 process	dvinecopula3
D-vine copula processes of type 3	coef,dvinecopula3-method dvinecopula3-class kendall,dvinecopula3-method predict,dvinecopula3-method show,dvinecopula3-method sim,dvinecopula3-method
Constructor function for dvinecopulavt process	dvinecopulavt
D-vine copula processes with v-transforms	coef,dvinecopulavt-method dvinecopulavt-class kendall,dvinecopulavt-method predict,dvinecopulavt-method show,dvinecopulavt-method sim,dvinecopulavt-method
Construct empirical margin	edf
Generic for estimating time series models	fit
Fit method for margin class	fit,margin-method
Fit method for tscm class	fit,tscm-method
Fit method for tscopulafit class	fit,tscopulafit-method
Fit method for tscopulaU class	fit,tscopulaU-method
Fit method for vtscopula class	fit,vtscopula-method
Gaussian distribution	dgauss gauss pgauss qgauss rgauss
Centred Gaussian distribution	dgauss0 gauss0 pgauss0 qgauss0 rgauss0
Generalized hyperbolic distribution	dgh gh pgh qgh rgh
Generalized lagging function	glag
Hyperbolic distribution	dhyp hyp phyp qhyp rhyp
Johnson's SU distribution	djsu jsu pjsu qjsu rjsu
Generic for Kendall correlations	kendall
Kalman filter for ARMA copula model	kfilter
KPACF of ARFIMA process	kpacf_arfima
KPACF of ARMA process	kpacf_arma
KPACF of fractional Brownian noise	kpacf_fbn
KPACF of monthly seasonal ARMA process	kpacf_sarma12
KPACF of quarterly seasonal ARMA process	kpacf_sarma4
Laplace distribution	dlaplace laplace plaplace qlaplace rlaplace
Centred Laplace distribution	dlaplace0 laplace0 plaplace0 qlaplace0 rlaplace0
Constructor function for margin	margin
Marginal model for time series	coef,margin-method margin-class show,margin-method sim,margin-method
Fitted marginal model for time series	logLik,marginfit-method marginfit-class
Normal inverse Gaussian distribution	dnig nig pnig qnig rnig
Check for invertibility of ARMA process	non_invert
Check for causality of ARMA process	non_stat
Compute autocorrelations from partial autocorrelations	pacf2acf
Compute autoregressive coefficients from partial autocorrelations	pacf2ar
Compute coincidence probability for v-transform	pcoincide
Adjusted empirical distribution function	pedf
Plot method for marginfit class	plot,marginfit,missing-method
Plot method for tscmfit class	plot,tscmfit,missing-method
Plot method for tscopulafit class	plot,tscopulafit,missing-method
Plot method for Vtransform class	plot,Vtransform,missing-method
Compute CDF of marginal model	pmarg
Profile likelihood for fulcrum parameter	profilefulcrum
Compute quantiles of marginal model	qmarg
Quantile calculation method for VT-ARMA models	quantile,tscmfit-method
Rosenblatt backward function with v-transforms	Rbackward
Inverse Rosenblatt forward function with v-transforms	RforwardI
Calculate standard errors safely	safe_ses
Transform a sarmacopula object into an armacopula object	sarma2arma
Transform a sarmacopula into a dvinecopula2 object	sarma2dvine
Constructor function for SARMA copula process	sarmacopula
SARMA copula processes	coef,sarmacopula-method kendall,sarmacopula-method predict,sarmacopula-method sarmacopula-class show,sarmacopula-method sim,sarmacopula-method
Turn vector of SARMA parameters into list	sarmavec2list
Skew double Weibull distribution	dsdoubleweibull psdoubleweibull qsdoubleweibull rsdoubleweibull sdoubleweibull
Constructor function for sdvinecopula process	sdvinecopula
Stationary d-vine copula processes	coef,sdvinecopula-method kendall,sdvinecopula-method predict,sdvinecopula-method sdvinecopula-class show,sdvinecopula-method sim,sdvinecopula-method
Standard deviation of innovations for armacopula	sigmastarma
Generic for simulating time series copula models	sim
Skew Laplace distribution	dslaplace pslaplace qslaplace rslaplace slaplace
Skew Student t distribution	dsst psst qsst rsst sst
Student t distribution	dst pst qst rst st
Centred Student t distribution	dst0 pst0 qst0 rst0 st0
Stochastic inverse of a v-transform	stochinverse
Calculate standardized ranks of data	strank
Constructor function for strict white noise copula process	swncopula
Strict white noise copula process	coef,swncopula-method show,swncopula-method sim,swncopula-method swncopula-class
Constructor function for time series	tscm
Full models	coef,tscm-method kendall,tscm-method predict,tscm-method show,tscm-method sim,tscm-method tscm-class
Fitted tscm model	logLik,tscmfit-method predict,tscmfit-method resid,tscmfit-method tscmfit-class
Time series copula processes	tscopula-class
Fitted time series copula processes	coef,tscopulafit-method kendall,tscopulafit-method logLik,tscopulafit-method predict,tscopulafit-method resid,tscopulafit-method show,tscopulafit-method sim,tscopulafit-method tscopulafit-class
Time series copulas of class tscopulaU	tscopulaU-class
Constructor function for 2-parameter beta v-transform	V2b
Constructor function for 2-parameter v-transform	V2p
Constructor function for 3-parameter beta v-transform	V3b
Constructor function for 3-parameter v-transform	V3p
Constructor function for degenerate v-transform	Vdegenerate
Calculate conditional down probability of v-transform	vdownprob
Calculate gradient of v-transform	vgradient
Calculate inverse of v-transform	vinverse
Constructor function for linear v-transform	Vlinear
Constructor function for symmetric v-transform	Vsymmetric
Evaluate a v-transform	vtrans
Class of v-transforms	coef,Vtransform-method show,Vtransform-method Vtransform-class
Class of invertible v-transforms	VtransformI-class
Constructor function for vtscopula object	vtscopula
Time series copula processes with v-transforms	coef,vtscopula-method kendall,vtscopula-method predict,vtscopula-method show,vtscopula-method sim,vtscopula-method vtscopula-class