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Code covered by the BSD License

[p mlv]=cmlstat(family,x) CMLSTAT Estimates copula parameter(s), given sample X.
bernsteincop(x,g) BERNSTEINCOP Bernstrein Empirical copula based on sample X.
claytoncml(alpha,u,v) FRANKCML Maximum Likelihood Function for Clayton copula.
copulaparam(type,tau) COPULAPARAM Copula parameter, given Kendall's rank correlation.
corrtest(R) CORRTEST tests if R is correlation matrix.
debye1(x) DEBYE1 First order Debye function.
ecopula(x) ECOPULA Empirical copula based on sample X.
frankcml(alpha,u,v) FRANKCML Maximum Likelihood Function for Frank copula.
gausscml(alpha,u,v) GAUSSCML Maximum Likelihood Function for Gauss copula.
gumbelcml(alpha,u,v) FRANKCML Maximum Likelihood Function for Gumbel copula.
kfun(family,x,alpha) KFUN Goodness-of-fit test for Archimedean copulas.
mvcoprnd(family,theta,m,n,nu) MVCOPRND Random numbers from multivariate copula.
tcml(theta,u,v) TCML Maximum Likelihood Function for t copula.
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3.8 | 4 ratings Rate this file 28 Downloads (last 30 days) File Size: 11 KB File ID: #15449

Copula generation and estimation

28 Jun 2007 (Updated 02 Jul 2007)

Copula functions written for Master Thesis.

File Information
Description	Functions written in 2007 for Master Thesis: "Simulating dependent random variables using copulas. Applications to Finance and Insurance". Functions include MVCOPRND - multivariate copula generator, CMLSTAT for estimation of copula parameters using Canonical Maximum Likelihood Method. Functions COPULAPARAM and DEBYE1 by Peter Perkins.
Acknowledgements	The author wishes to acknowledge the following in the creation of this submission: Copula Functions
Required Products	Statistics Toolbox
MATLAB release	MATLAB 7 (R14)

Tags for This File
Everyone's Tags	archimedean(2), canonical maximum likelihood, copula, elliptical, probability, statistics
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Comments and Ratings (4)
30 Jan 2008	ro h	Good work
14 May 2008	BabyCopula BlackCopula	Good work ... but someone who wants to use those functions must check and correct the expression in the functions frankcml.m "missing square" and the function gausscml.m there is a strange division operation expression like u have divided "A/2/B" which gave "NaN" for any value of the parameter alpha. I didn't have time to check all your calculus in others functions. For a master degree in finance , u have done a nice job ...but needs a bit improvement
04 Jul 2008	Suman Kumar
20 Sep 2008	Anders Heung	Everything works well except spelling error in copulaparam.m, should be 'gauss' instead of 'gaussian'. Estimation functions are very useful.

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Updates
29 Jun 2007	Mistake in mvcoprnd was found.
02 Jul 2007	I sent wrong file with my thesis (in Polish).. I am terribly sorry because of all mess I made. Now I send right files and I checked it three times.

Tag Activity for this File
Tag	Applied By	Date/Time
statistics	Robert Kopocinski	22 Oct 2008 09:17:39
probability	Robert Kopocinski	22 Oct 2008 09:17:39
copula	Robert Kopocinski	22 Oct 2008 09:17:39
canonical maximum likelihood	Robert Kopocinski	22 Oct 2008 09:17:39
elliptical	Robert Kopocinski	22 Oct 2008 09:17:39
archimedean	Robert Kopocinski	22 Oct 2008 09:17:39
archimedean	Hamed Vosgha	07 Jan 2012 21:28:33