tscopula: Time Series Copula Models

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. (2021) <arXiv:2107.00960>.

Package details

AuthorAlexander McNeil [aut, cre], Martin Bladt [aut]
MaintainerAlexander McNeil <alexanderjmcneil@gmail.com>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the tscopula package in your browser

Any scripts or data that you put into this service are public.

tscopula documentation built on May 7, 2022, 5:06 p.m.