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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