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gcmr (version 0.7.0)

arma.cormat: ARMA(p,q) Correlation

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. (2012). Gaussian copula marginal regression. Electronic Journal of Statistics 6, 1517--1549. http://projecteuclid.org/euclid.ejs/1346421603.

See Also

gcmr.