vinecopulib / rvinecopulib

R interface to the vinecopulib C++ library
GNU General Public License v3.0
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bicop and BiCopSelect return different models #259

Open waynelapierre opened 1 year ago

waynelapierre commented 1 year ago

Thanks for this great package. I am trying to identify a proper copula model for two random variables. The bicop function returns a Joe-Frank copula while the VineCopula::BiCopSelect returns a t-copula. Is it normal?

tnagler commented 1 year ago

Yes that can happen, because the copula implementations and optimizer are not identical. It would be easier to say if what you observe is normal, if you would provide a reproducible example.