EstNCSCop function

Estimation of a non-central squared copula model

This function estimates the copula parameter and the non-centrality parameters of a non-central squared copula

EstNCSCop(y, family, p = 2, InitialValues = NULL)

Arguments

• y: (nx2) data matrix (observations or residuals) that will be transformed to pseudo-observations
• family: 'Gaussian' , 't' , 'Clayton' , 'Frank' , 'Gumbel'
• p: number of non-centrality parameters to be estimated (p = 0,1,2)
• InitialValues: initial values c(a1,a2,tau) to start the estimation; otherwise pre-selected values will be used

Returns

• theta: Estimated parameter of the copula according to CRAN copula package

• dof: Estimated degrees of freedom, only for the Student copula

• tau: Estimated theoretical Kendall tau for the copula family

Examples

param <- c(0.8, 2.5, 0.7) ;
U <- SimNCSCop('Clayton', 250, param)
estimation <- EstNCSCop(U,'Clayton')

References

Section 5.1 of Nasri, Rémillard & Bouezmarni (2019). Semi-parametric copula-based models under non-stationarity, Journal of Multivariate Analysis, 173, pages 347-365.

Author(s)

Bouchra R. Nasri, August 14, 2019