Archimedean Copulas for Scenario Analysis

Functions to build new types of copulas.

fit_copula_clayton(
  copula,
  method = c("mpl", "ml", "itau", "irho", "itau.mpl"),
  ...
)

fit_copula_gumbel(
  copula,
  method = c("mpl", "ml", "itau", "irho", "itau.mpl"),
  ...
)

fit_copula_frank(
  copula,
  method = c("mpl", "ml", "itau", "irho", "itau.mpl"),
  ...
)

fit_copula_t(copula, method = c("mpl", "ml", "itau", "irho", "itau.mpl"), ...)

fit_copula_normal(
  copula,
  method = c("mpl", "ml", "itau", "irho", "itau.mpl"),
  ...
)

fit_copula_joe(
  copula,
  method = c("mpl", "ml", "itau", "irho", "itau.mpl"),
  ...
)

Arguments

copula	An object of the cma class.
method	A character with the method to be used for optimization. The default is mpl.
...	Additional arguments to be passed to archmCopula.

Value

An S3 list of the cma_copula class.

Examples

x <- matrix(diff(log(EuStockMarkets)), ncol = 4)

sep <- cma_separation(x)

fit_copula_clayton(sep)
#> # New Copula
#> Conveged:       0
#> Dimension:      4
#> Log-Likelihood: 1615.755
#> Model:          claytonCopula
fit_copula_gumbel(sep)
#> # New Copula
#> Conveged:       0
#> Dimension:      4
#> Log-Likelihood: 1596.36
#> Model:          gumbelCopula