Hi,
I have received some very interesting remarks
concerning my question on Copula with S-PLUS or SAS,
thanks to all All stats users
for their collaborations, and this
is the list of responses:
*********************** My query *******************************************
I have correlated data, I would like to use copula,
my goal is to choose an appropriate copula to fit
copula for a couple of variables of my data), and then
to compute measures of correlation, like Spearman and
others.
Could you please give me examples of application of
copulas, with programmes using SPLUS, or SAS.
*****************************************************
Response of Lee
There is functionality in the S+FinMetrics module for analysing data
with copula.
I would also recommend the following book, which includes a free S-PLUS
library: "Statistical Analysis of Financial Data in S-PLUS" by Rene A. Carmona
which contains examples.
**************************************************************
Response of Rich.
There's a great deal of copula functionality in S-PLUS' "FinMetrics"
module (plus loads more besides). In particular, there are good examples of
copulae estimation in the user manuals. Contact Insightful (cc'd on
this email) for more information ...
***********************************************Patricia suggests
You can use copulas (mle, simulation etc) via
Splus6 module(finmetrics)
Regards
Adel
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