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]