Classes and summary methods related to copula model fitting.
Objects can be created by calls to fitCopula
or
fitMvdc
, respectively or to their summary
methods.
The “mother class”, "fittedMV"
has the slots
estimate
:numeric
, the estimated parameters.
var.est
:numeric
, variance matrix estimate of
the parameter estimator. See note below.
loglik
:numeric
, log likelihood evaluated at
the maximizer.
nsample
:numeric
, integer representing the
sample size.
method
:character
, method of estimation.
fitting.stats
:a list
, currently
containing the numeric convergence
code from
optim
, the counts
, message
, and all
the control
arguments explicitly passed to
optim
.
In addition, the "fitCopula"
class has a slot
whereas the "fitMvdc"
has
Classes "fitCopula"
and "fitMvdc"
extend class
"fittedMV"
, directly.
Genest, C., Ghoudi, K., and Rivest, L.-P. (1995). A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82, 543--552.