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

st function

<dl><dt>q</dt>
<dd>vector of quantiles.</dd>
<dt>df</dt>
<dd>degrees of freedom.</dd>
<dt>mu</dt>
<dd>location parameter.</dd>
<dt>sigma</dt>
<dd>scale parameter.</dd>
<dt>p</dt>
<dd>vector of probabilities.</dd>
<dt>x</dt>
<dd>vector of values.</dd>
<dt>log</dt>
<dd>flag for log density.</dd>
<dt>n</dt>
<dd>number of observations.</dd></dl>

Arguments

Student t distribution — st

<dl>

<dt>q</dt>
<dd>vector of quantiles.</dd>


<dt>df</dt>
<dd>degrees of freedom.</dd>


<dt>mu</dt>
<dd>location parameter.</dd>


<dt>sigma</dt>
<dd>scale parameter.</dd>


<dt>p</dt>
<dd>vector of probabilities.</dd>


<dt>x</dt>
<dd>vector of values.</dd>


<dt>log</dt>
<dd>flag for log density.</dd>


<dt>n</dt>
<dd>number of observations.</dd>

</dl>

st: Student t distribution

Description

Usage

Value

Arguments