starmaStateSpace

State space representation for standardized ARMA model

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

starmaStateSpace function

<dl><dt>ar</dt>
<dd>vector of ar parameters</dd>
<dt>ma</dt>
<dd>vector of ma parameters</dd>
<dt>order</dt>
<dd>vector giving order (p,q)</dd></dl>

Arguments

State space representation for standardized ARMA model — starmaStateSpace

<dl>

<dt>ar</dt>
<dd>vector of ar parameters</dd>


<dt>ma</dt>
<dd>vector of ma parameters</dd>


<dt>order</dt>
<dd>vector giving order (p,q)</dd>

</dl>

starmaStateSpace: State space representation for standardized ARMA model

Description

Usage

Value

Arguments