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Table 1
Parameters estimated by Maximum Log-Likelihood (MLL) and BIC values for the copula between the pseudo-observations ranks(VT) and ranks(VF); degrees of t-Student = 3.529 also estimated by MLL using the tCopula() function of the copula R-package.
Copula | Parameter estimate | BIC |
---|---|---|
Gaussian | 0.875 | 17.619 |
Gumbel H | 2.950 | 17.484 |
t | 0.868 | 16.620 |
Frank | 9.385 | 15.267 |
Joe | 3.641 | 15.125 |
Clayton | 2.929 | 14.814 |