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How to make the marginals of a copula function in s-plus or R?

Chunming Zhu

Joined
4/6/09
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How to make the marginals of a copula function in s-plus or R?Hi, everyone:I am a chinese financial master student and very glad to learn quants knowledge here. I am a s-plus fimetrics user, I am very interested in copula functions recently, but when I planed to model it, I found I really don't kown how to get the marginal distritions with s-plus, I knew it alway used semi-parameter method to estimate the marginals in s-plus, but as I Knew, there would some other methods to model it. Would anyone help me? Thanks!Sincerely, your new friend Chunming Zhu.Guangzhou China
 
There is two methods, the cml one in which you use the empirical distribution to find the parameters of the copula, or the IFM method where you find the distribution that fit best the data then you estimate the parametrers of the copula by maximum likelihood
ltake a look at the copula package

http://cran.r-project.org/web/packages/copula/copula.pdf
 
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