# Questions tagged [vine-copula]

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### How can I generate random number $x$ and $y$ from a copula function by using lambert function [closed]

I studied a research paper they are using the lambert function to generate random number x and y from a Farlie-Gumbel-Morgenstern (FGM) copula function in the simulation study, I tried to understand ...
31 views

### How to identify a vine copula?

In the image below is a mixed vine copula composed of 3 copulae, therefore 3 marginals. It shows the 2d marginals and 100 samples of a 3d mixed vine. Without being told its a vine copula, how would ...
47 views

### Why copula based on CDF instead of PDF

I do understand the mathematic behind probability density function( PDF) and cumulative distribution function (CDF). My problem starts when I try to understand why copula relies on CDF and not on PDF. ...
10 views

### Why does deviation from uniform distribution suggest skewed-t model may not provide adequate fits for copula model

I read a book titled "Statistics and Data Analysis for Financial Engineering with R examples". At page 203, I read the following paragraph. "Figure 8....
49 views

### detrend time series data for non-regression proposal

Suppose I have a time-series data (temperature and ice-cream sales). I would like to fit a copula model to this data (just to understand the dependency between these two variables. I do not want to ...
32 views

### Questions about the surface and counter plot of copula functions

I applied a copula model to my data. Then I plot the surface plot for each selected copula function. As I understand, each colour in the plot indicates the strength of the dependency. For example, red ...
36 views

### How can I calculate Conditional expectation using copula

Let X, Y two time series and $F_{i, \beta_i}$ the marginal distribution of residual of each time series and beta is vector of their parameter. I studied the dependence between this two series using ...