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- library(VineCopula)
- library(copula)
- u <- pobs(as.matrix(cbind(stock1,stock2)))[,1]
- v <- pobs(as.matrix(cbind(stock1,stock2)))[,2]
- selectedCopula <- BiCopSelect(u,v,familyset=NA)
- Bivariate copula: BB8 (par = 1.78, par2 = 0.86, tau = 0.19)
- copula <- BB8Copula(param = c(1.78,0.86))
- m <- pobs(as.matrix(cbind(stock1,stock2)))
- fit <- fitCopula(copula,m,method='itau')
- coef(fit)
- my_dist <- mvdc(claytonCopula(param = 1.48, dim = 2), margins = c("gamma","gamma"), paramMargins = list(list(shape = x_shape, rate = x_rate), list(shape = y_shape, rate = y_rate)))
- sim <- rMvdc(306, my_dist)
- cor(cbind(stock1,stock2), method = "kendall")
- cor(sim, method = "kendall")
- > cor(cbind(stock1,stock2), method = "kendall")
- stock1 stock2
- stock1 1.0000000 0.1955256
- stock2 0.1955256 1.0000000
- > cor(sim, method = "kendall")
- [,1] [,2]
- [1,] 1.0000000 0.4441659
- [2,] 0.4441659 1.0000000
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