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Estimating Multivariate Archimedian Copulas

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Cor van Loon 2017-6-15

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编辑： Cor van Loon 2017-6-15

Hi there,

For my master thesis, I want to fit multivariate Archimedian Copulas(Frank, Gumbel, Clayton) to my data, but the build-in function copulafit supports only bivariate cases of the Archimedian Copulas. Does anyone know how I can fit multivariate Archimedian Copulas in Matlab?

Thanks in advance,

Cor

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AI, Data Science, and Statistics Statistics and Machine Learning Toolbox Probability Distributions Multivariate Distributions Copula Distributions and Correlated Samples

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