getIniParam: Get Initial Parameter Estimate for Copula

In copula: Multivariate Dependence with Copulas

Get Initial Parameter Estimate for Copula

Description

A (S4) generic function and methods providing a typically cheap method to get valid parameters for the copula, given the data. This is used, e.g., in fitCopula() when start is not specified.

Usage

getIniParam(copula, data, default, named = TRUE, ...)

Arguments

copula	a "copula" object.
data	an n x d-matrix of data to which the copula should be fitted.
default	a parameter vector of correct length, to be used when no method is available or the method does “not work”.
named	logical indicating if the result should have names.
...	optional further arguments to underlying methods.

Value

a numeric vector of correct length, say param, which should e.g., “work” in loglikCopula(param, u = data, copula).

Methods

signature(copula = "parCopula")

Close to a default method (as class "parCopula" contains most copulas), currently mainly trying to use a version of fitCopula(*, method = "itau") (itself based on moment matching iTau()).

signature(copula = "mixCopula")

a relatively simple method, for the copula parameters, trying getInitParam(cop[[k]]) for each component, and using equal weights w[k].

See Also

getTheta() gets such a vector from a copula object; fitCopula, loglikCopula.

Examples

 # TODO !

copula documentation built on Feb. 16, 2023, 8:46 p.m.