EstPhiNestedGumbel"

In VecDep: Measuring Copula-Based Dependence Between Random Vectors

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

library(VecDep)

First, let us fix some parameters.

q = 4
dim = c(2,2)
n = 1000

Construct a four dimensional hierarchical Gumbel copula with parameters (theta_0,theta_1,theta_2) = (2,3,4)

hac = gethac(dim,c(2,3,4),type = 1)

Draw a sample of size n from the copula

sample = suppressWarnings(HAC::rHAC(n,hac))

Estimate the mutual information between two random vectors of size two via pseudo maximum likelihood estimation

estphi(sample,dim,list("hac",type = 1,M = 10000),function(t){t * log(t)})

VecDep documentation built on April 4, 2025, 5:14 a.m.