Value of Log-Likelihoodfunction using Copula's

Hello,

Im quite new to matlab and have a very simple problem. I am investigating tail dependences using copulas by using the build-in function 'copulafit'. To decide which copulas to use i want to know the accompanying log likelihoodfunction of each copula. When i opened the build-in function i saw this line:

% Log-likelihood functions for Archimedean copulas (nested within main function) % function [nll,d2] = negloglike_clayton(alpha)

But i have know idea how to call this function (which is within another function). I only know how to call the function copulafit. Does anyone know how to call the LL function? Thanks in advance!!

Answer 1

[DANA VANEGAS]

Probably it is too late for this answer but it can help to others. Check the link <https://www.mathworks.com/matlabcentral/answers/91098-copula-log-likelihood-aic-bic typing 'edit copulafit' in the command window and see the nested functions. You can just get the estimated parameter and use it in the equations below the negloglike to get nll and d2. To get the parameter you just need to apply the copulafit build-in function.

Answer 2

[DANA VANEGAS]

Copula generation and estimation

[Jasmin Jestel]

Dear Dana, Your code in the comment section of the shared file was very helpful to me. I was wondering if you would have any tips on how to extract the nll-value for a fitted Gaussian copula? Thank you, JJ