VoseCopulaData | Vose Software


See also: Copulas in ModelRisk, Empirical Copula window




Example model

Array function that returns random values from an empirical copula that is constructed based on spreadsheet data.

  • {data} - the spreadsheet data from which to construct the copula. This should be at least a two-dimensional array.

  • Data_in_rows - a boolean parameter (TRUE/FALSE) that specifies whether the data is oriented in rows (TRUE) or not (FALSE, default)

  • Uncertainty - a boolean parameter (TRUE/FALSE) and specifies whether or not to include uncertainty in the constructed empirical copula (FALSE by default).

Note the difference between constructing an empirical copula, and fitting an existing type of copula:

When fitting a copula, we determine the parameter of the copula that makes for a best fit to the data, but retaining the copula's functional form. With the empirical copula, the functional form itself (not just the parameter) is based on the data, making it a flexible tool for capturing any correlation pattern, however unusual.

Also see Copula fitting functions for an explanation on how to fit copulas to data.