Vinecop

class Vinecop

A class for vine copula models.

A vine copula model is characterized by its structure (see RVineStructure objects) and the pair-copulas (see Bicop objects).

Attributes

dim	The dimension.
families	Families of all pair-copulas.
matrix	The R-vine structure's matrix.
nobs	The number of observations (for fitted objects only).
npars	The total number of parameters.
order	The R-vine structure's order.
pair_copulas	All pair-copulas.
parameters	The parameters of all pair-copulas.
rotations	The rotations of all pair-copulas.
structure	The R-vine structure.
taus	The Kendall's taus of all pair-copulas.
threshold	The threshold (for thresholded copulas only).
trunc_lvl	The truncation level.
var_types	The types of each variables.

Methods

__init__	Creates a new instance of the class.
aic	Evaluates the Akaike information criterion (AIC).
bic	Evaluates the Bayesian information criterion (BIC).
cdf	Evaluates the copula distribution.
fit	Fits the parameters of a pre-specified vine copula model.
get_family	Gets the family of a pair-copula.
get_pair_copula	Gets a pair-copula.
get_parameters	Gets the parameters of a pair-copula.
get_rotation	Gets the rotation of a pair-copula.
get_tau	Gets the kendall's tau of a pair-copula.
inverse_rosenblatt	Evaluates the inverse Rosenblatt transform.
loglik	Evaluates the log-likelihood.
mbicv	Evaluates the modified Bayesian information criterion for vines (mBICV).
pdf	Evaluates the copula density.
plot	Generates a plot for the Vinecop object.
rosenblatt	Evaluates the Rosenblatt transform for a vine copula model.
select	In other words, select() behaves differently depending on its current truncation level and the truncation level specified in the controls, respectively called trunc_lvl and controls.trunc_lvl in what follows.
simulate	Simulates from a vine copula model, see inverse_rosenblatt().
str	Summarizes the model into a string (can be used for printing).
to_json	Writes the copula object into a JSON file.
truncate	Truncates the vine copula model.