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# Questions tagged [copula]

A copula is a multivariate distribution with uniform marginal distributions. Copulas are mostly used to represent or to model the structure of dependence between random variables, separately from the marginal distributions.

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### How to predict using a copula approach?

I have a dataset with both continuous and discrete variables the target variable is 0-1 and I was wandering on how to predict the target var with the copula regression. I'm using python to do so and I ...
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### Simulate Gaussian copula with negative pair-wise correlations

I am now trying to simulate a multidimensional (let's say 4 dimensions) Gaussian copula. Given software restrictions, I can only use Excel for this simulation. That is why I am trying to implement the ...
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### How to prove this relation for Kendall's distribution function (or Kendall's measure)

Kendall Distribution Function (Nelsen, 2006, p. 163) Or Kendall Measure (Salvadori et al., 2007, p. 148) Or Kendall Function (Joe, 2014, pp. 419–422) is the cumulative distribution function (CDF) of ...
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### Steps for Forecasting with known copula's parameters

I want to calculate the Mean absolute percentage error (MAPE) for my copula model. I am stuck at the forecasting step. I am not specifying the copula here for different data pairs. I have two time ...
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### Joint distribution of the variables [closed]

I want to use the copula to model the joint distribution of precipitation and stream flow data for multivariate drought analysis. I have determined the marginal distributions for the variables. How ...
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### How many degrees of freedom in a T-copula is commonly used to model financial data?

I'm looking to fit some T-copulas to my financial return data. Unfortunately, the software I'm using can only fit a T-copula with a fixed degree of freedom parameter. So what parameter should I use? ...
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### Suppose $(X,Y)$ have copula $C(u,v)$, does $(aX,aY)$ have the same copula for $a>0$?

Suppose $(X,Y)$ have copula $c(u,v)$ in the sense of $Pr(X\leq x,Y\leq y)=Pr(F_X(X)\leq F_X(x),F_Y(Y)\leq F_Y(y))=Pr(U\leq u, V\leq v)=c(u,v)$, where $u\equiv F_X(x)$ and $v\equiv F_Y(y)$ and $c(u,v)$ ...
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### Should I not use copula if there is no significant dependence?

I have two variables, and I would like to get the joint distribution of those. I want to use copulas for that. However, when I checked for the dependence between those, I found no significant ...
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### What is the formula for the conditional inverse function for the Ali-Mikhail-Haq and the Farlie-Gumbel-Morgenstern Copulas?

I am trying to do a Monte Carlo simulation and want to define a function for the conditional inverse function for the the Ali-Mikhail-Haq and the Farlie-Gumbel-Morgenstern Copula. Here is an example ...
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### Should the data transformation to the uniform [0,1] always be performed in copula modeling, even for Archimedean copula families?

Is the data transformation to the uniform [0,1] always required in copula modeling, even for Archimedean copula? I have read some sources stating that the first step in copula modeling involves ...
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### Uniqueness of a Latent Representation Under Monotonicity Condition?

Suppose that I observe a bi-variate joint distribution over two random variables, $(X_1,X_2)$. I want to represent this joint distribution as arising from a function $F$ applied to i.i.d. uniform ...
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### Fitting Vine Copula tree by tree

I am using the R programming language. I want to manually fit the D-vine copula for tree level 2 using BiCopHfunc(). Still, I ...
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### Interpretation of basis functions in a logistic regression: can we test for univariate and multivariate/copula differences between the categories?

O'Brien (1988) has shown that a strong method for doing multivariate testing is to reverse the problem. That is, instead of seeing if the category impacts the measured values, see how the measured ...
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### Are there families of known parametric copulas for non-standard marginal normal distributions?

I know that a family of Gaussian copulas generates a standard bivariate normal distribution if and only if the marginal ones are standard normal. This characterizes the Gaussian copulas, where I have ...
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### Generate nonnegative variates with mean 1 and specified variance-covariance

Problem In several applications in surveys, it would be helpful to be able to generate a set of $R$ $n$-dimensional variates with the following properties: Has mean vector $1$ Has a specified ...
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### statistics linking McFadden's $R^2$ to the relationship between two binary variables, akin to correlation (Copula with Bernoulli margins?)

My goal is to create a visualization of the strength of the McFadden's $R^2$ of a (multinomial) logistic regression, where McFadden's $R^2$ is $1-\dfrac{LL(M_1)}{LL(M_0)}$, involving the ratio of the ...
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### Calculating conditional probability using VineCopula in R

I have a dataframe X (with columns x1 and x2) and would like to calculate conditional probability, something like P(x1<0.5|x2&...
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### Uniqueness of copula when marginals are continuous

I have a basic question about copula. I am not an expert in statistics myself but use statistics for modelling and data analysis a lot. I have read in multiple sources and also in Wikipedia that: ...
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