kpacf_arfima

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

kpacf_arfima function

<dl><dt>k</dt>
<dd>number of lags.</dd>
<dt>theta</dt>
<dd>list with components ar, ma and d specifying the ARFIMA parameters</dd></dl>

Arguments

KPACF of ARFIMA process — kpacf_arfima

<dl>

<dt>k</dt>
<dd>number of lags.</dd>


<dt>theta</dt>
<dd>list with components ar, ma and d specifying the ARFIMA parameters</dd>

</dl>

kpacf_arfima: KPACF of ARFIMA process

Description

Usage

Value

Arguments