CopCTS

Copula-Based Semiparametric Analysis for Time Series Data with Detection Limits

CRAN Package

Semiparametric estimation for censored time series with lower detection limit. The latent response is a sequence of stationary process with Markov property of order one. Estimation of copula parameter(COPC) and Conditional quantile estimation are included for five available copula functions. Copula selection methods based on L2 distance from empirical copula function are also included.

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  • Depends1 package
  • Imports2 packages