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. (2022) <doi:10.1515/demo-2022-0105>.

Version: 0.3.9
Depends: R (≥ 3.5.0)
Imports: methods, stats, graphics, utils, stats4, zoo, xts, FKF, ltsa, rvinecopulib, arfima, Matrix, polynom, kdensity
Suggests: knitr, rmarkdown
Published: 2024-02-16
DOI: NA
Author: Alexander McNeil [aut, cre], Martin Bladt [aut]
Maintainer: Alexander McNeil <alexanderjmcneil at gmail.com>
License: GPL-3
NeedsCompilation: no
Materials: README
CRAN checks: tscopula results

Documentation:

Reference manual: tscopula.pdf
Vignettes: Bitcoin Analysis
Models with Margins
Basic Time Series Copula Processes
Copula Processes with V-Transforms

Downloads:

Package source: tscopula_0.3.9.tar.gz
Windows binaries: r-devel: tscopula_0.3.9.zip, r-release: tscopula_0.3.9.zip, r-oldrel: tscopula_0.3.9.zip
macOS binaries: r-release (arm64): tscopula_0.3.9.tgz, r-oldrel (arm64): tscopula_0.3.9.tgz, r-release (x86_64): tscopula_0.3.9.tgz, r-oldrel (x86_64): tscopula_0.3.9.tgz
Old sources: tscopula archive

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