Copula: Log-likelihood, AIC, BIC
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Dear All, I am trying to estimate the best copula and have read that one approach is to compare log-likelihood and some information criteria (AIC, BIC). But I can not calculate them, also in the examples provided there is no info how to proceed. Help please... Would be very grateful! Thanks in advance.
1 个评论
Antonio
2014-9-20
I have the same question, I have two dataset that are distributed following a Normal Distribution, after using the normcdf to make them Uniform, afterwards, I use the copulafit comamand to fit with the different families of copulas, and now I would like to check which is the one that adapt better, in order to measure the dependence among the data.
I guess that AIC and BIC are the best way to deal with this, but I do not know how to implement them.
回答（1 个）
M Bateni
2016-6-23
1 个投票
You can go to the body of built-in file 'copulafit' by typing 'edit copulafit' in the command window. At the end of the body of that function, there are some sub-functions starting with "negloglike" like 'negloglike_clayton'. By using those functions out of 'copulafit', you can have negative likelihood values for different copula families. having this value, you can easily calculate AIC or BIC (maybe using 'aicbic' function).
2 个评论
Lazola Ngcengula
2017-5-3
Thanks very much man, this works perfectly after a few modifications of course.
kantha vel
2018-9-10
编辑：kantha vel
2018-9-10
Hi friend Lazola Can you send that code?
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2018-9-10
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