arma.cormat

0th

Percentile

ARMA(p,q) Correlation

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

Keywords
regression, nonlinear
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

gcmr.

Aliases
  • arma.cormat
Documentation reproduced from package gcmr, version 1.0.2, License: GPL (>= 2)

Community examples

Looks like there are no examples yet.