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.
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 |
Download the package for MATLAB here or visit GitHub
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