[R] Copula Fitting Using R

[Michael Kao]

library(copula) could be helpful as well.

## Toy example for gumbel copula with log-normal distribution
## (Taken from the documentation of copula::fitMvdc)

## Specify the copula
gumbel.cop <- gumbelCopula(3, dim=2)
myMvd <- mvdc(gumbel.cop, c("lnorm","lnorm"), list(list(meanlog = 1.17),
                                                                                              list(meanlog = 0.76)))
## Generate some random sample to test
x <- rmvdc(myMvd, 1000)

## Fit the random sample
fit <- fitMvdc(x, myMvd, c(1,1,2))
fit

##  Jun Yan (2007). Enjoy the Joy of Copulas: With a Package copula.
## Journal of Statistical Software, 21(4), 1-21. URL
##  http://www.jstatsoft.org/v21/i04/.

##  Ivan Kojadinovic, Jun Yan (2010). Modeling Multivariate Distributions
##  with Continuous Margins Using the copula R Package. Journal of
##  Statistical Software, 34(9), 1-20. URL
##  http://www.jstatsoft.org/v34/i09/.

Cheers,

On 25/11/2011 9:09 a.m., Dennis Murphy wrote:
> Hi:
>
> This is the type of question for which the sos package can come to the rescue:
>
> library('sos')
> findFn('Gumbel Clayton copula')
>
> It appears that the QRMlib package would be a reasonable place to start.
>
> Dennis
>
> On Thu, Nov 24, 2011 at 7:29 PM, cahaya iman<qaisfayyad at gmail.com>  wrote:
>> Hi,
>>
>> Is anybody using Copula package for fitting copulas to own data?
>> I have two marginals Log Normal with (parameters 1.17 and 0.76) and Gamma (
>> 2.7 and 1.05)
>>
>> Which package I should use to fit Gumbel and Clayton Copulas?
>>
>> Thanks,
>> fayyad
>>
>>         [[alternative HTML version deleted]]
>>
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> ______________________________________________
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.