[R-SIG-Finance] Copula in R

Xiaochen Sun Xiaochen.Sun at brunel.ac.uk
Fri Jan 30 15:55:56 CET 2009

Hi there,

Suppose you have produced 15 CDFs, which all lie between [0,1]. They are pseudo samples to be fitted in the copula model.

There are some packages in R allow you to estimate the parameters in copula function, for example, "copula", "QRMlib".....

Your marginals have been estimated by GPD model, which means you will adopt two-step IFM method for copula estimation.

Alternatively, you can use CML method, which use empirical distribution for the marginals. For this, the function "edf" can help you to produce all your return data into uniform variates.

Hope this helps.


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch]On Behalf Of Yana Roth
Sent: 2009Äê1ÔÂ30ÈÕ 14:37
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Copula in R

I try to reproduce copula fitting from Matlab by R. I constructed pieswise distribution: Generalised Pareto at the tails and empirical distribution estimated with Gaussian Kernel. Like this I obtain 15 CDF. However, I dont find my way to convert them to uniforms and fit copula.
If you could provide some help, I would be thanjful
Thank You

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