Description

Classes and summary methods related to copula model fitting.

Objects from the Class

Objects can be created by calls to fitCopula or fitMvdc, respectively or to their summary methods.

Slots

The “mother class”, "fittedMV" has the slots

estimate:

numeric, the estimated parameters.

var.est:

numeric, variance matrix estimate of the parameter estimator. See note below.

loglik:

numeric, log likelihood evaluated at the maximizer.

nsample:

numeric, integer representing the sample size.

method:

character, method of estimation.

fitting.stats:

a list, currently containing the numeric convergence code from optim, the counts, message, and all the control arguments explicitly passed to optim(). Since copula version 1.0-1 also keeps information about parameter transformations, currently needed only for mixCopula fits with free weights.

In addition, the "fitCopula" class has a slot

copula:

the fitted copula, of class "copula".

whereas the "fitMvdc" has

mvdc:

the fitted distribution, of class "mvdc".

Extends

Classes "fitCopula" and "fitMvdc" extend class "fittedMV", directly.

Methods

summary

signature(object = "fitMvdc"): ...

summary

signature(object = "fitCopula"): ...

Further, there are S3 methods (class "fittedMV") for coef(), vcov() and logLik(), see fitMvdc.

References

Genest, C., Ghoudi, K., and Rivest, L.-P. (1995). A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82, 543–552.