glag_for_armacopula

Generalized lagging for fitted armacopula objects

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

glag_for_armacopula function

<dl><dt>copula</dt>
<dd>an armacopula object.</dd>
<dt>data</dt>
<dd>the data to which copula is fitted.</dd>
<dt>lagmax</dt>
<dd>the maximum lag value.</dd>
<dt>glagplot</dt>
<dd>logical value indicating generalized lag plot.</dd></dl>

Arguments

Generalized lagging for fitted armacopula objects — glag_for_armacopula

<dl>

<dt>copula</dt>
<dd>an armacopula object.</dd>


<dt>data</dt>
<dd>the data to which copula is fitted.</dd>


<dt>lagmax</dt>
<dd>the maximum lag value.</dd>


<dt>glagplot</dt>
<dd>logical value indicating generalized lag plot.</dd>

</dl>

glag_for_armacopula: Generalized lagging for fitted armacopula objects

Description

Usage

Value

Arguments