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) , Bladt, M., & McNeil, A.J. (2020) .


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install.packages("tscopula")

0.2.1 by Alexander McNeil, 3 months ago


Browse source code at https://github.com/cran/tscopula


Authors: Alexander McNeil [aut, cre] , Martin Bladt [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports methods, stats, graphics, utils, zoo, xts, FKF, ltsa, rvinecopulib, FitAR, arfima, Matrix

Suggests knitr, rmarkdown


See at CRAN