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- Matrix <- matrix(c(4, 3, 2, 1,
- 0, 3, 2, 1,
- 0, 0, 2, 1,
- 0, 0, 0, 1), 4, 4)
- returns <- cbind(stock1, stock2, stock3, stock4)
- selectedCopula <- RVineCopSelect(pobs(as.matrix(returns)), Matrix = Matrix, familyset = NA)
- selectedCopula
- C-vine copula with the following pair-copulas:
- Tree 1:
- 1,4 t (par = 0.35, par2 = 4.89, tau = 0.23)
- 1,3 Gaussian (par = 0.53, tau = 0.36)
- 1,2 BB8 (par = 1.78, par2 = 0.86, tau = 0.19)
- Tree 2:
- 2,4;1 Tawn type 1 (par = 3.04, par2 = 0.01, tau = 0.01)
- 2,3;1 BB8 (par = 4.61, par2 = 0.84, tau = 0.54)
- Tree 3:
- 3,4;2,1 Rotated Tawn type 1 180 degrees (par = 11.06, par2 = 0, tau = 0)
- copula_dist14
- sim14
- copula_dist13
- sim13
- copula_dist12
- sim12
- selectedCopula124 <- BiCopSelect(sim12,sim14,familyset=NA)
- selectedCopula124
- Error:
- In BiCopSelect: Data have to be in the interval [0,1].
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