Description Usage Arguments Details Value Note Author(s) Examples
Estimation the parameters of the bivariate distribution function of the Archimedean copula family.
1 |
Z |
data frame with these columns: |
kopule |
a character string specifying the family of an Archimedean copula. Currently supported families are "gumbel", "clayton" and "frank". |
rodiny |
vector of length 2 of names of the marginal distributions. Names can be "weibull", "gamma", "norm" and "lnorm". "norm" is the name for the Normal distribution. "lnorm" is the name for the Lognormal distribution. |
The Weibull ("weibull") and the Gamma ("gamma") distributions have
parameters shape
and scale
. The Normal ("norm") distribution
has parameters mean
and sd
. The Lognormal ("lnorm")
distribution has parameters meanlog
and sdlog
.
A list with the following components:
par |
best estimate of the parameter vector found
by the |
value |
value of the likelihood at termination. |
feval |
number of times the likelihood was evaluated. |
restarts |
number of times the algorithm had to be restarted when it stagnated. |
convergence |
an integer code indicating type of convergence. 0 indicates successful convergence. Positive integer codes indicate failure to converge. |
message |
a text message indicating the type of convergence or failure. |
Vector par has the structure:
par[1:2]
are parameters of the first marginal distribution.
par[3:4]
are parameters of the second marginal distribution.
par[5]
is the parameter of the copula.
Josef Brejcha
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | rodinka <- c("weibull", "norm")
kopule <- "frank"
xweib <- c(1.75, 145, 1.30, 80, 3.5)
BcG <- BiCopGen(x = xweib, rodiny = rodinka, rodina = kopule, No=30,
cens = TRUE, bicens = FALSE, digi = 2)
Nxyd <- data.frame(X=BcG$X, Y=BcG$Y, dX=BcG$dX, dY=BcG$dY)
Bivar <- BiVarEst(Nxyd, kopule = kopule, rodiny = rodinka)
Bivar
plot(Nxyd$Y, Nxyd$X, type="n", xlab="Y", ylab="X",
xlim=c(min(0, min(Nxyd$Y)), max(Nxyd$Y)),
ylim=c(min(0, min(Nxyd$X)),max(Nxyd$X)))
points(Nxyd$Y, Nxyd$X, col=ifelse(Nxyd$dX==1 & Nxyd$dY==1, "black",
ifelse(Nxyd$dX==0 & Nxyd$dY==1, "red", ifelse(Nxyd$dX==1 & Nxyd$dY==0,
"blue", "green"))), pch=20)
legend("topleft",c("dX, dY","1,1", "0,1", "1,0", "0,0"),
text.col=c("black", "black", "red", "blue", "green"), bty = "n")
grid(col = "grey50")
|
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