dynamic.theta.clayton {STCCGEV} | R Documentation |
Compute Dynamic Clayton Copula Parameter
Description
Computes the Clayton copula parameter dynamically based on lagged values and covariates.
Usage
dynamic.theta.clayton(params, lagged_theta, X_t)
Arguments
params |
Numeric vector of parameters: omega, alpha, and gamma coefficients. |
lagged_theta |
Numeric, the previous theta value. |
X_t |
Numeric vector or matrix of covariates at time t. |
Value
Numeric, estimated dynamic Clayton copula parameter.
[Package STCCGEV version 1.0.0 Index]