mycopula

Getting Started

mycopula is a routine in MATLAB that is prepared to carry out the computational process on copula-based modeling.

mycopula provides a very easy way to estimate copula parameters and calculate joint PDF and CDF.

Some of the computing processes include Marginal Distribution Fittings, Copula Function Fittings, Visualization of Two Dimensional Copulas, and Regression Process.

The marginal distribution functions used are

The copula functions used are Gaussian, t-student, Gumbel, Frank, Clayton, Joe, Galambos, BB1, BB6, BB7, and BB8.

List of Functions

Function Description
fitter fitting marginal distribution
copfitter fitting copula using transformed variables
bivariatefit one-line code for fitting bivariate copula
symmetricfit one-line code for fitting trivariate copula
nestedfit one-line code for fitting high-dimensional copula via nested structures
biplot plot joint PDF via bivariate copula
jointcdf compute the joint CDF using fitted copula
jointpdf compute the joint PDF using fitted copula
copreg Perform copula regression with different copula fitting approach
  1. What is copula?
  2. Bivariate Case
  3. Trivariate Case (Symmetric 3-Copula)
  4. Multivariate Copula: Nested copula

Download

Download the package for MATLAB here or visit GitHub


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