fitCopula

BCfitCopula

Bivariate copulas are estimated based on <code>BiCopEst</code> and vine copulas through <code>RVineStructureSelect</code> or <code>RVineCopSelect</code> depending on the <code>method</code> argument.

Provides new classes for (rotated) BB1, BB6, BB7, BB8, and
Tawn copulas, extends the existing Gumbel and Clayton families with
rotations, and allows to set up a vine copula model using the 'copula' API.
Corresponding objects from the 'VineCopula' API can easily be converted.

Thomas Nagler

VC2copula

Extend the 'copula' Package with Families and Models from
'VineCopula'

Benedikt Graeler

fitCopula function

<dl><dt>copula</dt>
<dd>an object of the desired copula class</dd>
<dt>data</dt>
<dd>a matrix holding the U(0,1) distributed data columns</dd>
<dt>method</dt>
<dd>for BIVARIATE copulas either "ml" or "itau" for maximum likelihood estimation or inverse tau estimation (for one parameter families) respectively. See <code>BiCopEst</code> for details. In case of a VINE copulas a list with names entries <code>StructureSelect</code> (default: FALSE), <code>indeptest</code> (default: FALSE), <code>familyset</code> (default: 'NA') and <code>indeptest</code> (default: FALSE). See <code>RVineStructureSelect</code> or <code>RVineCopSelect</code> for details.</dd></dl>

Arguments

A dedicated method to use the estimation routines from the VineCopula package — fitCopula

<dl>

<dt>copula</dt>
<dd>an object of the desired copula class</dd>


<dt>data</dt>
<dd>a matrix holding the U(0,1) distributed data columns</dd>


<dt>method</dt>
<dd>for BIVARIATE copulas either "ml" or "itau" for maximum likelihood estimation or inverse tau estimation (for one parameter families) respectively. See <code>BiCopEst</code> for details. In case of a VINE copulas a list with names entries <code>StructureSelect</code> (default: FALSE), <code>indeptest</code> (default: FALSE), <code>familyset</code> (default: 'NA') and <code>indeptest</code> (default: FALSE). See <code>RVineStructureSelect</code> or <code>RVineCopSelect</code> for details.</dd>

</dl>

fitCopula: A dedicated method to use the estimation routines from the VineCopula package

Description

Usage

Value

Arguments

Examples