I would like to determine a suitable copula function on my data.

The multivariate computed from the original data is similar to the Plackett.

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The GOF test on my data with size 8000, reject all copula functions (e.g., Gumbel, Frank, Clayton, Normal, Plackett, tCopula and etc.).

gofCopula(plackettCopula(),pobs(data, ties.method = "random"), estim.method="itau",simulation = "mult")

I was wondering if this rejection is because of the large size of my data? If not, why non of the copula functions are not suitable for my data?

  • 1
    $\begingroup$ The short answer is that your data are not perfectly described by any of the copula families you have tested. They are by no means "all" possible copulas. $\endgroup$ – whuber Dec 7 '19 at 22:28
  • $\begingroup$ Your data seems mixture data. You need to use mixture copula. $\endgroup$ – Maryam Jan 13 at 19:11

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