fitCopula-class {copula}R Documentation

Class "fitCopula"

Description

Classes and summaries related to copula model fitting.

Objects from the Class

Objects can be created by calls to fitCopula, fitMvdc or to their summary method.

Slots

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:
Object of class "copula".
mvdc:
Object of class "mvdc".

Note

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).

References

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.


[Package copula version 0.7-6 Index]