[R-SIG-Finance] Elliptical Copula simulation

[Hyun-U Sohn]

you might want to look at RMetrics's copula package -->
http://cran.r-project.org/web/packages/fCopulae/index.html or at
QRMlib which also has copula functions -->
http://cran.r-project.org/web/packages/QRMlib/index.html

cheers, HS

On Wed, Apr 1, 2009 at 10:22 AM, tawfiq just <just.tawfiq at gmail.com> wrote:
> hi everyone
> I have  a multivariate time series let say a 3*50 matrix dimension. the
> correlation matrix is
>
> 1            0.22      0.25
>  0.22       1          0.43
>  0.25       0.43        1
>
> i would like to simulate both normal and student copulas. from the help in R
> they didn't explain how to use the correlation matrix or to evaluate the
> degre of freedom to fit the copula for the student copula estimation.
>
>
> Examples and copula functions in the copula packadge document
> ftp://ftp.auckland.ac.nz/pub/software/CRAN/doc/packages/copula.pdf
>
>
> norm.cop <- normalCopula(c(0.5, 0.6, 0.7), dim = 3, dispstr = "un")
> t.cop <- tCopula(c(0.5, 0.3), dim = 3, dispstr = "toep", df = 2)
> ## from the wrapper
> norm.cop <- ellipCopula("normal", param = c(0.5, 0.6, 0.7),
> dim = 3, dispstr = "un")
>
> *Fit a copula model to multivariate data.*
> Usage
> loglikCopula(param, x, copula)
> loglikMvdc(param, x, mvdc)
> fitCopula(data, copula, start, optim.control = list(NULL), method = "BFGS")
> fitMvdc(data, mvdc, start, optim.control = list(NULL), method = "BFGS")
>
> any help please on this topic.
>
> think you very much
>
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