fit.AC {QRMlib}R Documentation

Fit Archimedean Copula

Description

Fit an Archimedean copula via maximum likelihood

Usage

fit.AC(Udata, name = "clayton")

Arguments

Udata matrix of copula data consisting of n rows of d-dimensional vector observations
name name of copula, e.g. "clayton" or "gumbel"

Details

see documentation of dcopula.AC for information on extending. This function can be used in place of the older function fit.Archcopula2d().

Value

list containing parameter estimate, standard error, value of log-likelihood at maximum and convergence flag

See Also

dcopula.AC


[Package QRMlib version 1.4.4 Index]