Nothing
#'@title 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.
#'@param 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".
#'@param tau Estimated Kendall's tau to compute a starting point (default is 0.5)
#'
#'@return \item{LB}{Lower bound for the parameters}
#'@return \item{UB}{Upper bound for the parameters}
#'@return \item{start}{Starting point for the estimation}
#'
#'@references Nagler & Vatter (2002). rvinecopulib: High Performance Algorithms for Vine Copula Modeling. Version 0.6.2.1.3
#'@references Nasri (2020). On non-central squared copulas. Statistics and Probability Letters.
#'@references Nasri (2022). Test of serial dependence for arbitrary distributions. JMVA.
#'@references Nasri & Remillard (2023). Copula-based dependence measures for arbitrary data, arXiv 2301.07267.
#'
#'@examples
#'out = est_options("bb8")
#'
#'
#'@export
#'
#'
est_options = function(family,tau=0.5)
{
switch(family,
"gaussian"= {LB = -1;
UB = 1;
start = sin(pi*tau/2)},
"t" = { LB = c(-1,2);
UB = c(1,50);
start = c(sin(pi*tau/2),15)},
"clayton" = {ttau = abs(tau);
LB = 1e-10;
UB = 28;
start=2*ttau/(1-ttau);
},
"gumbel" = {ttau = abs(tau);
LB = 1;
UB = 50;
start=1/(1-ttau)},
"frank" = {LB = -35;
UB = 35;
start=5},
"joe" = {LB = 1;
UB = 30;
start = 15},
"bb1" ={LB = c(0,1);
UB=c(7,7);
start = c(3,5)},
"bb6" ={ LB = c(1,1);
UB = c(6,8);
start = c(3,5)},
"bb7"={ LB = c(1,0);
UB = c(6,25);
start = c(3,15)},
"bb8"={ LB = c(1,1e-4);
UB = c(8,1-1e-4);
start = c(3,0.5)},
"plackett" = {LB = 1e-4;
UB = 1e4;
start = 10},
"ncs-gaussian"= {LB = c(-1,0,0);
UB = c(1,3,3);
start = c(sin(pi*tau/2),1,2)},
"ncs-clayton" = {ttau = abs(tau);
LB = c(1e-10,0,0);
UB = c(28,3,3);
start=c(2*ttau/(1-ttau),1,2);
},
"ncs-gumbel" = {ttau = abs(tau);
LB = c(1,0,0);
UB = c(50,3,3);
start=c(1/(1-ttau),1,2)},
"ncs-frank" = {LB = c(-35,0,0);
UB = c(35,3,3);
start=c(5,1,2)},
"ncs-joe" = {LB = c(1,0,0);
UB = c(30,3,3);
start = c(15,1,2)},
"ncs-plackett" = {LB = c(1e-4,0,0);
UB = c(1e4,3,3);
start = c(10,1,2)}
)
out=list(LB=LB, UB=UB, start=start)
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.