expand_ar

Expand AR coefficients to include SAR coefficients of SARMA model

internal

Functions for the analysis of time series using copula models.
The package is based on methodology described in the following references.
McNeil, A.J. (2021) <doi:10.3390/risks9010014>,
Bladt, M., & McNeil, A.J. (2021) <doi:10.1016/j.ecosta.2021.07.004>,
Bladt, M., & McNeil, A.J. (2022) <doi:10.1515/demo-2022-0105>.

Alexander McNeil

tscopula

Time Series Copula Models

Martin Bladt

expand_ar function

<dl><dt>ar</dt>
<dd>vector of AR coefficients</dd>
<dt>sar</dt>
<dd>vector of SAR coefficients</dd>
<dt>period</dt>
<dd>period of SARMA model</dd></dl>

Arguments

Expand AR coefficients to include SAR coefficients of SARMA model — expand_ar

<dl>

<dt>ar</dt>
<dd>vector of AR coefficients</dd>


<dt>sar</dt>
<dd>vector of SAR coefficients</dd>


<dt>period</dt>
<dd>period of SARMA model</dd>

</dl>

expand_ar: Expand AR coefficients to include SAR coefficients of SARMA model

Description

Usage

Value

Arguments