gcmr (version 0.2)

arma.cormat: Gaussian Copula Regression with ARMA(p,q) Correlation Matrix

Description

Sets ARMA(p,q) correlation in Gaussian copula regression models.

Usage

arma.cormat(p, q)

Arguments

p

order of the autoregressive component.

q

order of the moving average component.

Value

• An object of class cormat.gcmr representing a correlation matrix with ARMA(p,q) structure.

References

Masarotto, G. and Varin, C. (2011). Gaussian copula marginal regression. Preprint.

See Also

gcmr