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Questions tagged [copula]

9 questions
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Simulating copula with copula::normalCopula: what is the covariance of output?

I am trying to simulate data from a normal Copula using R's copula package, more precisely using normalCopula and then mvdc. I note that the function normalCopula wants the correlation matrix R, not the covariance S. Looking at the output, I note…
Matifou
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Copula implementation in Python super slow

In the context of a model for risk management to calculate the VaR, I am implementing a routine to create multivariate distributions with user defined marginals. I'll provide an example of the code, using a gaussian copula and gamma marginals: #…
Nassir Bin
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Copula-GARCH model in python

I'm trying to do a copula GARCH model with data from 5 indexes (SP500, STXE600, Nikkei, FTS100 and PHLXGOLD). My data is already in a dataframe and I modeled the 4 GARCH model I will work with: GARCH-n (GARCH model with normal distribution):…
Beatriz
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Which packages is proper for dependence modeling using copula in Python?

I'm facing a stochastic model which needs the copula tool to formulate the dependence within several random variables. For the unknown dependence structure, it would be better if as more the copula families as possible are supported, such as…
Wynn
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Is there any vectorized equivalent of pmvnorm?

I am trying to optimize my code which takes as argument four vectors X1, X2, X3, X4 and a correlation matrix R. First, for each observation I compute F(X3,X4)+F(X1,X2)-F(X2,X3)-F(X1,X4) where F corresponds to the function below: F <-…
etomilina
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Computing Mixing Coefficients (Weights) of Mixed Copula Model (Gumbel and Unstructured Student-t) using EM Algorithm in R

Hello Stack Overflow community, I am currently working on a project involving the estimation of a mixed copula model composed of a Gumbel copula and an unstructured Student-t copula. I would like to know how to compute the mixing coefficients…
Attil_lev
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R packages for multivariate Bernstein copulas

Does anyone know if there exist packages to fit multivariate Bernstein copula in R. I have searched, and I only find a couple of packages for bivariate copula (kdecopula, subcopem2D). since this is a rather popular non-parametric copula, I would…
Erik
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fit a copula to the empirical data (3 variables)

I have 3 variables (temperature, consumption, price) and i want to fit a copula to the data. I used the package fitCopula. It works for normalCopula and tCopula but not for archimedean copulas (frank, clayton, gumbel) fitCopula(frankCopula(dim=3),…
Max
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How to find the joint probability using copula?

Let X1 ~ F2 = p1F10 + (1-p1)F11 X1 ~ F2 = p1F20 + (1-p2)F21 and P(X1 <= x1, X2 <= x2) = C(F1i(x1), F2j(x2)) (C is the same copula for all i,j=0,1) I know the exact p1, p2, all Fij and C. I think P(X1 from F10, X2 from F20) is not equal to p1*p2 but…
황서화
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