[R-SIG-Finance] Copula Package

[Christophe Dutang]

Hello,

I think what you need to look at is the log-likelihood. Something like sum(log(dcopula(gumbelCopula(3), x)). 

By the way, there is also the gumbel package available on CRAN where some classic fitting methods are available.

Regards

Christophe

Le 9 nov. 2010 à 22:20, salmajj at softhome.net a écrit :

> Hi I tried a lot of time to send this message hope it works this time!
> Hi everybody,
> my objective is to find the corresponding parameter of the gumbel copula that best fit my empirical dependancy structure. i.e I already know that the gumbel copula is the best family but i want to decide on the best parameter ? 
> in other words
> let
> x <- rcopula(gumbelCopula(3), 100) 
> suppose we do not know that alpha=3 is the right value and we are wondering if the gumbel copula with alpha equal to 2 is a good fit
> let test :
> gofEVCopula(gumbelCopula(2), x)
> this returns
> Parameter estimate(s): 3.044912
> Cramer-von Mises statistic: 0.0004143588 with p-value 0.8616384 
> let test :
> gofEVCopula(gumbelCopula(3), x)
> this returns:
> arameter estimate(s): 3.044912
> Cramer-von Mises statistic: 0.0004143588 with p-value 0.8556444 
> So if I well understand this function gofCopula only indicate that the gumbel family is a good fit and we can not decide on the best parameter of the gumbel copula as the results were the same!
> So which test we could use to know that actually the gumbal copula with parameter 3 and not 2 fit best the dependancy?
> Thanks a lot!
> 
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--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr