[R] Fit copulas to data

emkayenne michaelkristoffernagl at gmail.com
Sun Oct 18 19:36:04 CEST 2009

For those of you who have ever dealt with copulas in R, youcould maybe help
me. :

I have used R to fit a couple of bivariate Archimedean copulas to financial
data. R gives a parameter and a z-value and a third number that is
supposedly some kind of p-value. 
An example of what I get after fitting a gumbel copula:

      Estimate Std. Error  z value Pr(>|z|)
param 1.636907 0.07953911 20.57990        0
The maximized loglikelihood is  333.3923 
The convergence code is  0 

Who can tell me what the std error and the value of Pr(>|z|) mean?

I would guess that the fit is pretty bad due to the small p-value, but I
think what is tested here is the Null that the parameter is 0. Clearly, this
Null would be rejected as the p value is small. But I am not sure what this
outcome really 

Couls somebody explain...? just give an interpretation of the outcome if the
fitCopula command?

Thank you so much,

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