fitCopula-class: Classes of Fitted Multivariate Models: Copula, Mvdc
Description
Classes and summary methods related to copula model fitting.
Objects from the Class
Objects can be created by calls to fitCopula or
fitMvdc, respectively or to their summary methods.Slots
The “mother class”, "fittedMV" has the slots
estimate:numeric, the estimated parameters.var.est:numeric, variance matrix estimate of
the parameter estimator. See note below.loglik:numeric, log likelihood evaluated at
the maximizer.nsample:numeric, integer representing the
sample size.method:character, method of estimation.fitting.stats:- a
list, currently
containing the numeric convergence code from
optim, the counts, message, and all
the control arguments explicitly passed to
optim.
In addition, the "fitCopula" class has a slot
copula:- the fitted copula, of class
"copula".
whereas the "fitMvdc" has
mvdc:- the fitted distribution, of class
"mvdc".
Extends
Classes "fitCopula" and "fitMvdc" extend class
"fittedMV", directly.Methods
- summary
signature(object = "fitMvdc"): ... - summary
signature(object = "fitCopula"): ...
Further, there are S3 methods (class "fittedMV") for
coef(), vcov() and logLik(),
see fitMvdc.References
Genest, C., Ghoudi, K., and Rivest, L.-P. (1995). A semiparametric
estimation procedure of dependence parameters in multivariate
families of distributions. Biometrika 82, 543--552.