Copula generation and estimation 1.0

Date Added: September 09, 2013 | Visits: 357

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Functions written in 2007 for Master Thesis: "Simulating dependent random variables using copulas. Applications to Finance and Insurance". Functions include MVCOPRND - multivariate copula generator, CMLSTAT for estimation of copula parameters using Canonical Maximum Likelihood Method. Functions COPULAPARAM and DEBYE1 by Peter Perkins.

Requirements: No special requirements

Platforms: Matlab

Keyword: Canonical, Cmlstat, Copula, Estimation, Generator, Likelihood, Maximum, Parameters, Perkins, Peter

Users rating: 0/10

License: Shareware

Size: 10 KB

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