mlCopulaSelection-package {mlCopulaSelection}R Documentation

Copula selection and fitting using maximum likelihood

Description

Use numerical maximum likelihood to choose and fit a bivariate copula model (from a library of 40 models) to the data. The copula models in the library correspond to BB1, BB2,...,BB10 from Joe, H., (1997) and its 90, 180 and 270 degree rotations.

Details

Package: mlCopulaSelection
Type: Package
Version: 1.3
Date: 2006-08-12
License: GPL version 2.

Author(s)

Jesus Garcia, IMECC-UNICAMP and Veronica Gonzalez-Lopez, IMECC-UNICAMP

Maintainer: Jesus Garcia <jg@ime.unicamp.br>

References

Joe, H., (1997). Multivariate Models and Dependence Concepts. Monogra. Stat. Appl. Probab. 73, London: Chapman and Hall.

Examples


# The Data (the margins are uniform)
U <- c( 0.43, 0.1, 0.2, 0.33, 0.24, 0.29, 0.14, 0.4, 0.39, 0.8, 0.63, 0.16, 0.24, 0.14,0.71, 0.39, 0.48, 0.29, 0.38, 0.37)
V <- c(0.01, 0.26, 0.2, 0.36, 0.34, 0.43, 0.27, 0.61, 0.08, 0.25, 0.72, 0.15, 0.14, 0.12, 0.74, 0.18, 0.58, 0.15, 0.34, 0.13)
# find the maximun likelihood estimates
res<-mlcbbsel(U,V)
#the best fitting copula model:
res$copmax
#the parameters for the best fitting copula model:
res$parmax
#the log-likelihood of the best fitting copula model with those parameters:
res$llmax


[Package mlCopulaSelection version 1.3 Index]