tscopula
type: Item
instance of: R package
software version identifier: 0.3.1
software version identifier: 0.2.1
software version identifier: 0.3.9
maintained by: Alexander J. McNeil
CRAN project: tscopula
programmed in: R
last update: 2024-02-16T00:00:00Z
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>.
author: Alexander J. McNeil
author: Martin Bladt
copyright license: GNU General Public License, version 3.0
imports: methods
imports: stats
imports: graphics
imports: utils
imports: stats4
imports: zoo
imports: xts
imports: FKF
imports: ltsa
imports: rvinecopulib
imports: arfima
imports: Matrix
imports: polynom
imports: kdensity
cites work: Modelling Volatile Time Series with V-Transforms and Copulas
cites work: Time series copula models using d-vines and v-transforms
cites work: Time series models with infinite-order partial copula dependence
depends on software: R
MaRDI profile type: Software
description: Time Series Copula Models