sarmacopula

Constructor function for SARMA copula process

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

sarmacopula function

<dl><dt>pars</dt>
<dd>list consisting of vector of AR parameters named `ar`
and vector of MA parameters named `ma`, SAR parameters named `sar`
and vector of SMA parameters named `sma`.</dd>
<dt>period</dt>
<dd>period of seasonal model.</dd></dl>

Arguments

Constructor function for SARMA copula process — sarmacopula

<dl>

<dt>pars</dt>
<dd>list consisting of vector of AR parameters named `ar`
and vector of MA parameters named `ma`, SAR parameters named `sar`
and vector of SMA parameters named `sma`.</dd>


<dt>period</dt>
<dd>period of seasonal model.</dd>

</dl>

sarmacopula: Constructor function for SARMA copula process

Description

Usage

Value

Arguments

Examples