[R] Fit copulas to data
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
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
Couls somebody explain...? just give an interpretation of the outcome if the
Thank you so much,
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