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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: | 10.32614/CRAN.package.tscopula |
| 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 |
| Reference manual: | tscopula.html , tscopula.pdf |
| Vignettes: |
Bitcoin Analysis (source, R code) Models with Margins (source, R code) Basic Time Series Copula Processes (source, R code) Copula Processes with V-Transforms (source, R code) |
| 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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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.