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 ...
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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 ...
2
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1answer
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. ...
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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....
2
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0answers
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 ...
2
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1answer
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 ...
1
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0answers
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 ...
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0answers
13 views

how to fit trivariate copula for dataset

what is the most effective method to fit and code for trivariate copula in the event that I have 12 data sets in my data frame?
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1answer
65 views

Correct C-Vine Configuration to emulate a predefined correlation matrix

I am trying to simulate a vine copula with a predefined dependence structure, so I can generate samples for my desired dependence structure. However, I am having trouble defining the Vine structure ...