For the copula R package, the function Mvdc allows the margins to be user-defined.

mvdc(copula, margins, paramMargins, marginsIdentical = FALSE,
     check = TRUE, fixupNames = TRUE)

A user-defined distribution, for example, fancy, can be used as margin provided that dfancy, pfancy, and qfancy are available according to the R documentation https://rdrr.io/rforge/copula/man/Mvdc.html

How do I specify the user-defined distribution using R syntax? I understand the fitdist might be able to help, but I am unsure of how to write the code required.


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