11 November 2017 0 10K Report

I have a question about the R package copula. When using fitCopula to fit a copula to data, more specifically a n dimensional t-copula, joe and tawn copula to a set of some stock daily returns, the function only returns the rho1 and df estimates, but not the variance-covariance matrix (or correlation matrix P) estimate which I need to simulate random deviates from the distribution. How do I extract the variance-covariance matrix (or the correlation matrix) estimate?

Similar questions and discussions