使用Dynamic_Copula_Toolbox_3.0估计copula参数为何与matlab自带的copula函数估计出的结果不一样?为何高斯copula使用Dynamic_Copula_Toolbox_3.0估计结果会出两个参数?
程序:
data=xlsread('data.xlsx');
rn=data(:,1);
rb=data(:,2);
tails1 = paretotails(rn, 0.1, 1 - 0.1, 'ecdf');
tails2 = paretotails(rb, 0.1, 1 - 0.1, 'ecdf');
u1=cdf(tails1,rn);
u2=cdf(tails2,rb);
data1=[u1 u2];
a=copulafit('Gauss',data1)
spec=modelspec(data1);
[parameters,LogL,evaalmodel,GradHess,udata]=fitModel(spec,data1,'fmincon')
结果:
a =
1.0000 0.3005
0.3005 1.0000
Estimation output
parameter St. Error t-stats
---------------------------------
0.0900 0.033 2.6916
0.5224 0.124 4.1972
---------------------------------
Akaike: -98.2016
BIC: -88.5248
Log Likelihood: 51.101
---------------------------------
Estimation time is 7.97 seconds
parameters =
0.0900
0.5224
LogL =
-51.1008
evaalmodel =
iterations: 15
funcCount: 82
constrviolation: 0
stepsize: 4.3664e-06
algorithm: 'interior-point'
firstorderopt: 2.0000e-04
cgiterations: 0
message: 'Local minimum possible. Constraints satisfied.…'
AIC: -98.2016
BIC: -88.5248
LogL: 51.1008
Rt: [933x1 double]
TimeInSeconds: 7.9679
GradHess =
hessian: [2x2 double]
scores: [933x2 double]
VCV: [2x2 double]
RobVCV: [2x2 double]
RobStE: [2x1 double]
grad: [2x1 double]
udata =
[]