C and D-vine Copula - Fitting

Fit either a C- or D-vine copula model. Function is a repackaging the RVineStructureSelect and RVineCopSelect functions from the RVine package into a single function.

Usage

Vine_Copula_Fit(Data)

Arguments

Data

Data frame containing n at least partially concurrent time series. First column may be a "Date" object. Can be Dataframe_Combine output.

Value

List comprising the vine copula Structure, pair-copula families composing the C- or D-vine copula Family, its parameters Par and Par2.

See also

Dataframe_Combine Vine_Copula_Sim

Examples

S20.Vine<-Vine_Copula_Fit(Data=S20.Detrend.df)