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.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
Overloaded function.
Evaluates the Akaike information criterion (AIC).
Evaluates the Bayesian information criterion (BIC).
Evaluates the copula distribution.
Gets the family of a pair-copula.
Gets a pair-copula.
Gets the parameters of a pair-copula.
Gets the rotation of a pair-copula.
Gets the kendall’s tau of a pair-copula.
Evaluates the inverse Rosenblatt transform.
Evaluates the log-likelihood.
Evaluates the modified Bayesian information criterion for vines (mBICV).
Evaluates the copula density.
Evaluates the Rosenblatt transform for a vine copula model.
Automatically fits and selects a vine copula model.
Simulates from a vine copula model, see
inverse_rosenblatt()
.Summarizes the model into a string (can be used for printing).
Writes the copula object into a JSON file.
Truncates the vine copula model.