How to check which fitted Copula based on parametric marginal distribution is the best?

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Dear Sir/Madam
I am trying to fit the Copula to the data, regarding to the parametric marginal distribution. As I found the way that you introduced in MathWorks is Nonparametric based on finding Kernel;
u = ksdensity(x,x,'function','cdf'); v = ksdensity(y,y,'function','cdf');
In my case, I have two variables that allow me to think they are distributed under a Normal Distributions, so as you say, I use the normcdf to obtain the array U(0,1), and afterwards use the copulafit on this.
My questions, are two:
a) With this copulafit what I obtained are the parameters of the copula that have this marginals (eg, in the case of a t, the parameters would be the linear correlation and the degrees of freedom). Therefore, the parameters that characterize my copula. Is this right?
b) On the other hand, how can I choose which Copula fits better with my data, I have to measure the dependence among both variables, so I guess the one which shows me this dependence. How can I do it? is there any way of doing it visually?
Thank you very much.
  1 Comment
Antonio
Antonio on 22 Sep 2014
It would be possible to apply the empirical copula in order to check which copula fits better? In case this is so, how can I implement it?
Thank you

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