arma.cormat: ARMA Correlation Structure for Copula Count Time Series...

In gctsc: Gaussian and Student-t Copula Models for Count Time Series

ARMA Correlation Structure for Copula Count Time Series Models

Description

Constructs an ARMA(p,q) correlation structure for use in Gaussian and Student–t copula count time series models.

Usage

arma.cormat(p = 0, q = 0, tau.lower = NULL, tau.upper = NULL)

Arguments

p	Non-negative integer specifying the autoregressive (AR) order.
q	Non-negative integer specifying the moving-average (MA) order. The model ARMA(0,0) is not supported.
tau.lower	Optional numeric vector of length p + q specifying lower bounds for the ARMA parameters.
tau.upper	Optional numeric vector of length p + q specifying upper bounds for the ARMA parameters.

Details

The ARMA model specifies the dependence structure of the latent copula process.

The ARMA parameters must define a stationary and invertible process. These conditions are enforced during model fitting.

Value

An object of class "arma.gctsc" and "cormat.gctsc" containing:

• npar: Number of ARMA parameters (p + q).

• od: Integer vector c(p, q).

• start: Function to compute starting values from data, typically using arima.

• lower, upper: Parameter bounds.

See Also

gctsc, poisson.marg, predict.gctsc

gctsc documentation built on March 20, 2026, 9:11 a.m.