CopCTS: Copula-Based Semiparametric Analysis for Time Series Data with Detection Limits

Semiparametric estimation for censored time series with lower detection limit. The latent response is a sequence of stationary process with Markov property of order one. Estimation of copula parameter(COPC) and Conditional quantile estimation are included for five available copula functions. Copula selection methods based on L2 distance from empirical copula function are also included.

Getting started

Package details

AuthorFuyuan David Li
MaintainerFuyuan David Li <[email protected]>
LicenseGPL
Version1.0.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("CopCTS")

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CopCTS documentation built on May 1, 2019, 8:18 p.m.