Rblattdens {tscopula} | R Documentation |
Calculate Rosenblatt density function
Description
Evaluates the Rosenblatt density function for a sequence of pair copulas extracted from an object of class dvinecopula or dvinecopula2.
Usage
Rblattdens(pc_list, data, x)
Arguments
pc_list |
a list of pair copulas. |
data |
vector of past data values in order of occurrence. |
x |
vector of arguments of Rosenblatt density function. |
Details
To set up the pair copula list, use the functions mklist_dvine for objects of class dvinecopula or mklist_dvine2 for objects of class dvinecopula2.
The vector data
containing the past values of the time series must have
at least as many elements as the list of pair copulas in pc_list
. The elements
of data
should be in (0,1) and the elements of x
in [0,1].
Value
a vector of values with same length as x
.
[Package tscopula version 0.3.9 Index]