fitCopula-class {copula} | R Documentation |
Classes and summaries related to copula model fitting.
Objects can be created by calls to fitCopula
, fitMvdc
or to their summary
method.
est
:numeric
, parameter estimate. var.est
:numeric
, variance matrix estimate of
the parameter estimator. See note below. loglik
:numeric
, loglikelihood evaluated at
the maximizer. convergence
:numeric
, convergence code from
"optim"
. nsample
:numeric
, integer representing the sample size. copula
:"copula"
. mvdc
:"mvdc"
.
The variance matrix of the estimate, "var.est"
, in the returned
object is only valid for full likelihood maximization. When
pseudo-observations are used, they under-estimate the variation. See
Genest, Ghoudi, and Rivest (1995).
C. Genest, K. Ghoudi and L.-P. Rivest (1995). A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika, 82, 543-552.
J. Yan (2006), Multivariate Modeling with Copulas and Engineering Applications. In Handbook of Engineering Statistics, Ed. Pham, Springer.