est_options: Options for the estimation of the parameters of bivariate...

In CopulaInference: Estimation and Goodness-of-Fit of Copula-Based Models with Arbitrary Distributions

Options for the estimation of the parameters of bivariate copula-based models

Description

Sets starting values, upper and lower bounds for the parameters. The bounds are based on those in the rvinecopulib package.

Usage

est_options(family, tau = 0.5)

Arguments

family	Copula family: "gaussian", "t", "clayton", "frank", "gumbel", "joe", "plackett”, "bb1", "bb6", "bb7","bb8","ncs-gaussian", "ncs-clayton", "ncs-gumbel", "ncs-frank", "ncs-joe","ncs-plackett".
tau	Estimated Kendall's tau to compute a starting point (default is 0.5)

Value

LB	Lower bound for the parameters
UB	Upper bound for the parameters
start	Starting point for the estimation

References

Nagler & Vatter (2002). rvinecopulib: High Performance Algorithms for Vine Copula Modeling. Version 0.6.2.1.3

Nasri (2020). On non-central squared copulas. Statistics and Probability Letters.

Nasri (2022). Test of serial dependence for arbitrary distributions. JMVA.

Nasri & Remillard (2023). Copula-based dependence measures for arbitrary data, arXiv 2301.07267.

Examples

out = est_options("bb8")

CopulaInference documentation built on April 21, 2023, 9:07 a.m.