Copula in R
The QRMlib function "fit.tcopula.rank" with method="kendall" will accept the uniform data from the cdf transformation. It is more commonplace to first filter the data with a process like garch, and then apply the fit to the standardized residuals. There is also a package on r-forge for the semi-parametric distribution with pareto tail which implements density, distribution, quantile and sampling (http://r-forge.r-project.org/projects/spd/). -Alexios
Yana Roth wrote:
Hello,
I try to reproduce copula fitting from Matlab by R. I constructed pieswise distribution: Generalised Pareto at the tails and empirical distribution estimated with Gaussian Kernel. Like this I obtain 15 CDF. However, I dont find my way to convert them to uniforms and fit copula.
If you could provide some help, I would be thanjful
Thank You
Yana
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