EstNCSCop {NCSCopula}

Estimation of a non-central squared copula model

Description

This function estimates the copula parameter and the non-centrality parameters of a non-central squared copula

Usage

EstNCSCop(y, family, p = 2, InitialValues = NULL)

Arguments

y

(nx2) data matrix (observations or residuals) that will be transformed to pseudo-observations

family

'Gaussian' , 't' , 'Clayton' , 'Frank' , 'Gumbel'

p

number of non-centrality parameters to be estimated (p = 0,1,2)

InitialValues

initial values c(a1,a2,tau) to start the estimation; otherwise pre-selected values will be used

Value

theta

Estimated parameter of the copula according to CRAN copula package

dof

Estimated degrees of freedom, only for the Student copula

tau

Estimated theoretical Kendall tau for the copula family

Author(s)

Bouchra R. Nasri, August 14, 2019

References

Section 5.1 of Nasri, Rémillard & Bouezmarni (2019). Semi-parametric copula-based models under non-stationarity, Journal of Multivariate Analysis, 173, pages 347-365.

Examples

param <- c(0.8, 2.5, 0.7) ;
U <- SimNCSCop('Clayton', 250, param)
estimation <- EstNCSCop(U,'Clayton')