dynamic.rho {STCCGEV} | R Documentation |
Compute Dynamic Gaussian Copula Correlation Parameter (rho)
Description
Computes the time-varying correlation parameter (rho) for a Gaussian copula.
Usage
dynamic.rho(params, lagged_rho, X_t)
Arguments
params |
Numeric vector of parameters: omega, alpha, and gamma coefficients. |
lagged_rho |
Numeric, the previous rho value. |
X_t |
Numeric vector or matrix of covariates at time t. |
Value
Numeric, estimated dynamic Gaussian copula correlation.
[Package STCCGEV version 1.0.0 Index]