Description Usage Arguments Value Author(s) References Examples
This function estimates the copula parameter and the non-centrality parameters of a non-central squared copula
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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 |
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 |
Bouchra R. Nasri, August 14, 2019
Section 5.1 of Nasri, RĂ©millard & Bouezmarni (2019). Semi-parametric copula-based models under non-stationarity, Journal of Multivariate Analysis, 173, pages 347-365.
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