CopulaStudent: Student's t Copula

In QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts

Description

Functions for copula density, generating random variates and fitting

Usage

dcopula.t(Udata, df, Sigma, log = FALSE)
rcopula.t(n, df, Sigma)
fit.tcopula(Udata, method = c("all", "Kendall", "Spearman"),
            startdf = 5, ...)

Arguments

df	numeric, degrees of freedom.
log	logical, whether log density values should be returned.
method	character, method for fitting.
n	integer, count of random variates
Sigma	matrix, correlation matrix
startdf	numeric, initial DF value.
Udata	matrix, dimension n \times d, where d is the dimension of the copula and n is the number of pseudo-uniform values.
...	ellipsis, arguments are passed down to nlminb().

Details

If in the call to fit.tcopula(), method = "all", then all parameters are estimated, i.e., the degrees of freedom and the dispersion parameters (initial values from Spearman correlations). In case of either method = "Kendall" or method = "Spearman", the corresponding rank correlations are used and the optimization is only carried out with respect to the degrees of freedom parameter. The initial value for the DF is given by startdf. See pages 197 and 229–236 of QRM.

Value

A vector of density values of length n for dcopula.t(). A matrix of random variates for rcopula.t(). A list object containing parameter estimates and details of fit for function fit.tcopula().

See Also

nlminb

Examples

ll <- c(0.01,0.99)
#create perspective plot for bivariate density:
BiDensPlot(func = dcopula.t, xpts = ll, ypts = ll, df = 4,
           Sigma = equicorr(2, 0.5))
S <- equicorr(d = 6, rho = 0.7)
data <- rcopula.t(2000, df = 4, Sigma = S) 
pairs(data)
## Fitting Student's 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)
copt2 <- fit.tcopula(Udata, method = "Kendall")

Example output

Loading required package: gsl
Loading required package: Matrix
Loading required package: mvtnorm
Loading required package: numDeriv
Loading required package: timeSeries
Loading required package: timeDate

Attaching package: 'QRM'

The following object is masked from 'package:base':

    lbeta

There were 12 warnings (use warnings() to see them)

QRM documentation built on April 14, 2020, 6:49 p.m.