[R-SIG-Finance] Copula in R

alexios alexios at 4dscape.com
Fri Jan 30 16:05:42 CET 2009

The QRMlib function "fit.tcopula.rank" with method="kendall" will accept
 the uniform data from the cdf transformation.

It is more commonplace to first filter the data with a process like
garch, and then apply the fit to the standardized residuals.

There is also a package on r-forge for the semi-parametric distribution
with pareto tail which implements density, distribution, quantile and
sampling (http://r-forge.r-project.org/projects/spd/).


Yana Roth wrote:
> Hello,
> 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
> Yana
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