pbox (version 0.1.8)

fit_copula_pbox: Fit Copula Models to Data

Description

Automatically fits various copula models specified in a list to the provided data. This function is a wrapper around the underlying copula fitting function, facilitating the exploration of multiple copula families to identify the best fitting model based on criteria such as AIC.

`fit_copula_pbox` method to fit a variety of copula models to data. This method performs a grid search over specified copula families to find the best fit. It employs the pseudoinverse of the empirical distribution functions to standardize the data.

Usage

fit_copula_pbox(data, .copula_families)
# S4 method for ANY
fit_copula_pbox(data, .copula_families)

Value

A data table summarizing the AIC and parameter estimates for each copula family evaluated.

Arguments

data

A data frame or data table; the data will be coerced to a `data.table` internally.

.copula_families

A list specifying copula families to evaluate. The list should be structured with names corresponding to the type of copula (e.g., 'archmCopula', 'evCopula', 'ellipCopula') and elements being vectors of strings naming the copula families (e.g., "clayton", "frank").

Examples

  data("SEAex")
  .copula_families <- list(
    archmCopula = c("clayton", "frank", "gumbel", "joe"),
    evCopula = c("galambos", "gumbel", "huslerReiss"),
    ellipCopula = c("normal")
  )
  distFits <- fit_copula_pbox(data = SEAex, .copula_families)
  print(distFits)