fit_copula {pbox}

Copula Fit

Description

Internal method to automatically find the best Copula given a data.frame. Wrapper around the function fitCopula.

Automatically fits a copula model using the provided pseudo-observations. This method supports various families of copulas and calculates the corresponding AIC and parameter estimates.

Usage

.fit_copula(copula, family, dim, u)

## S4 method for signature 'ANY'
.fit_copula(copula, family, dim, u)

Arguments

copula

A data.frame or data.table (the data will be coerced to a data.table internally).

family

List of copula types and their corresponding families. Currently supported families are "clayton", "frank", "amh", "gumbel", and "joe" for Archimedean Copula; "galambos", "gumbel", and "huslerReiss" for Extreme-Value copula; "normal" and "t" for Elliptical copula.

dim

number of columns of data.

u

matrix of (pseudo-)observations. Consider applying the function pobs() first in order to obtain such data.

Value

A data.table with the corresponding AIC and the parameter estimates of the evaluated copulas and families.