tscopula

CRANtscopulaMaRDI QIDQ109458FDOQ109458

Time Series Copula Models

Alexander J. McNeil, Martin Bladt

Last update: 16 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.3.1, 0.2.1, 0.3.9

Description

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>.

Cites work

• Modelling Volatile Time Series with V-Transforms and Copulas
• Time series copula models using d-vines and v-transforms
• Time series models with infinite-order partial copula dependence

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