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Copula Functions

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Copula Functions

by

Peter Perkins (view profile)

 

28 Aug 2003 (Updated )

Functions accompanying MATLAB News&Notes article "Monte-Carlo Simulation in MATLAB Using Copulas"

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Description

Simulation model to accompany the article, "Monte-Carlo Simulation in MATLAB Using Copulas" in the November 2003 issue of MATLAB News&Notes. The function METAPOP runs the metapopulation simulation model described in the article.

MATLAB®'s Statistics Toolbox™ includes a variety of functions for copula models

Acknowledgements

This file inspired Copula Generation And Estimation.

Required Products Statistics and Machine Learning Toolbox
MATLAB release MATLAB 6.5 (R13)
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Comments and Ratings (18)
16 Apr 2012 Peter

Peter (view profile)

 
13 Jun 2009 Nikola Toljic

Very nice.

12 Jul 2008 chloe Ausseur  
27 Mar 2008 Y.Y. Tang

Good!

15 Apr 2007 Chi Jie

Useful

09 Dec 2006 Parinya Maglin  
10 Oct 2006 Yunchao Jiang  
27 Sep 2006 x zeng  
20 Jun 2006 Jack de Kuijper

Works very nice. Only a little problem with the gumbel... its nice and easy when you do it in only 2 dimensions. But often a gumbel is extended to more dimensions, too bad it doest work with that...

22 Feb 2006 Abedalrazq Khalil

I though the functions are very useful to understand copulas use in simulation.

06 Oct 2005 Alex Sudakov  
06 Oct 2005 A H

Very good, well documented as well. Is there anyone who has coded for the Multivariate Archimidean cases, it looks extremely challenging.

27 Aug 2005 a user  
09 Mar 2005 Martyn Dorey

Good stuff. Alot of variety has gone into this.
The utility functions are very helpful.

28 Oct 2004 Dan Signz

Many errors in this file. Don't use it!

14 May 2004 nelz almadi

it is great file

Comment only
09 Dec 2003 Alessandro Juri  
05 Dec 2003 alhussein almahrouq

monte-carlo simulation in power system

Comment only
Updates
02 Jun 2009 1.1

Removed outdated copula functions.

12 Jun 2009 1.3

Cleaned up file header information.

18 Jun 2009 1.4

Added copyright.

18 Jun 2009 1.5

Remove author.

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