sarmacopula_objective

Objective function for SARMA copula process

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

sarmacopula_objective function

<dl><dt>theta</dt>
<dd>vector of parameters of DARMA process</dd>
<dt>modelspec</dt>
<dd>vector containing model order (p,q)(P,Q)D</dd>
<dt>u</dt>
<dd>vector of data</dd></dl>

Arguments

Objective function for SARMA copula process — sarmacopula_objective

<dl>

<dt>theta</dt>
<dd>vector of parameters of DARMA process</dd>


<dt>modelspec</dt>
<dd>vector containing model order (p,q)(P,Q)D</dd>


<dt>u</dt>
<dd>vector of data</dd>

</dl>

sarmacopula_objective: Objective function for SARMA copula process

Description

Usage

Value

Arguments