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I have two sets of observed data, and I would like to model their joint distribution using a copula in R. I have transformed each set into a uniform distribution using their CDFs, and so now I have two series of dependent, uniformly distributed random variables.

How can I model their joint behavior using a copula? I have begun playing around with R's forecast package, but I can't seem to get started. I would like to fit the best copula to my data (Gaussian, Clayton, Gumbel, etc).

Thanks!

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Without sample data, it's hard to give concrete examples, but have you looked into the copula package for R? It has functionality (i.e. fitCopula) to fit various kinds of copulæ (Archimedean, elliptical, etc.).

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