gcmr (version 1.0.2)

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.

Masarotto, G. and Varin C. (2017). Gaussian Copula Regression in R. Journal of Statistical Software, 77(8), 1--26. 10.18637/jss.v077.i08.

See Also