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

estimate:
numeric, parameter estimate.
var.est:
numeric, variance matrix estimate of the parameter estimator. See note below.
method:
character, method of estimation.
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".

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.


[Package copula version 0.8-3 Index]