fitDependency: Function for fitting bivariate Copulas

In OpVaR: Statistical Methods for Modelling Operational Risk

Description

Function for fitting bivariate dependency between loss frequencies and severities.

Usage

fitDependency(cell, copula_family, method = "mle")

Arguments

cell	a lossdat cell
copula_family	0: independence, 1: Gaussian, 2: t, 3: Clayton, 4: Gumbel, 5: Frank, 6: Joe, see Vine Copula Package ?BiCop encoding
method	as in fitCopula of the copula package. The method "itau" should not be used as dependencies between a continuous and a discrete random variable are modeled.

Value

A BiCop object

Author(s)

Marius Pfeuffer

References

Schepsmeier et al.: VineCopula package, CRAN

Examples

### Fit Joe Copula
data(lossdat)
fitDependency(lossdat[[1]],6)

OpVaR documentation built on Sept. 8, 2021, 5:07 p.m.