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Re: st: How to perform multivariate simulation with copula

From   "Scott Merryman" <>
Subject   Re: st: How to perform multivariate simulation with copula
Date   Thu, 22 May 2008 06:53:07 -0500

Casey Quinn <> asked about estimating a copula using the
ml method in 2005
( ; see
also his "Using copulas to measure association between ordinal
measures of health and income"  ).

I don't know if he resolved the problem of finding feasible initial
values for his ml program, but you might try contacting him.


On Wed, May 14, 2008 at 7:26 AM, Matias Gutierrez <> wrote:
> Dear statalisters,
> I wonder if perhaps someone can give me a tip on how to tacke this: I have
> got three time series, say X, Y and Z which I consider are marginals from a
> multivariate joint distribution. I need to simulate 20.000 times  X, Y and Z
> being sure that those draws have embedded the dependence structure of the
> original variables. I understand that a common approach to do this is by
> using the concept of copula.
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