Copula: Log-likelihood, AIC, BIC

Dear All, I am trying to estimate the best copula and have read that one approach is to compare log-likelihood and some information criteria (AIC, BIC). But I can not calculate them, also in the examples provided there is no info how to proceed. Help please... Would be very grateful! Thanks in advance.

[Antonio]

I have the same question, I have two dataset that are distributed following a Normal Distribution, after using the normcdf to make them Uniform, afterwards, I use the copulafit comamand to fit with the different families of copulas, and now I would like to check which is the one that adapt better, in order to measure the dependence among the data.

I guess that AIC and BIC are the best way to deal with this, but I do not know how to implement them.

Answer 1

[M Bateni]

You can go to the body of built-in file 'copulafit' by typing 'edit copulafit' in the command window. At the end of the body of that function, there are some sub-functions starting with "negloglike" like 'negloglike_clayton'. By using those functions out of 'copulafit', you can have negative likelihood values for different copula families. having this value, you can easily calculate AIC or BIC (maybe using 'aicbic' function).

[Lazola Ngcengula]

Thanks very much man, this works perfectly after a few modifications of course.

[kantha vel]

Hi friend Lazola Can you send that code?