CopulaGauss {QRM} | R Documentation |
Gauss Copula
Description
Functions for evaluating the Gauss copula, generating random variates and fitting.
Usage
dcopula.gauss(Udata, Sigma, log = FALSE)
rcopula.gauss(n, Sigma)
fit.gausscopula(Udata, ...)
Arguments
log |
|
n |
|
Sigma |
|
Udata |
|
... |
ellipsis argument, passed down to |
Value
For dcopula.gauss()
a vector of density values of length n. For
rcopula.gauss()
a n \times d
matrix of random variates
and for fit.gausscopula()
a list with the optimization results.
See Also
Examples
ll <- c(0.01,0.99)
BiDensPlot(func = dcopula.gauss, xpts = ll, ypts = ll,
Sigma = equicorr(2, 0.5))
data <- rcopula.gauss(2000, Sigma = equicorr(d = 6, rho = 0.7))
pairs(data)
## Fitting Gauss Copula
data(smi)
data(ftse100)
s1 <- window(ftse100, "1990-11-09", "2004-03-25")
s1a <- alignDailySeries(s1)
s2a <- alignDailySeries(smi)
idx <- merge(s1a, s2a)
r <-returns(idx)
rp <- series(window(r, "1994-01-01", "2003-12-31"))
rp <- rp[(rp[, 1] != 0) & (rp[, 2] !=0), ]
Udata <- apply(rp, 2, edf, adjust = 1)
copgauss <- fit.gausscopula(Udata)
[Package QRM version 0.4-31 Index]