Description Usage Arguments Details Value Author(s) References See Also Examples
The best fitting into the generalized archimedean copula class is selected
1 2 |
x |
real vector |
y |
real vector |
m |
integer positive number (default=15) |
step |
real positive number (default=0.01) |
test |
test used for fitting selection, it have to be wilcox.test (default) or t.test |
empcumulative |
logical value, can be TRUE (default) or FALSE (see details) |
cumulative1 |
marginal cumulative associated with x. Can be used pnorm, pbeta, pempirical,...(only used when empcumulative=FALSE) |
cumulative2 |
marginal cumulative associated with y. Can be used pnorm, pbeta, pempirical,...(only used when empcumulative=FALSE) |
parameters1 |
specifics parameters for cumulative1's definition |
parameters2 |
specifics parameters for cumulative2's definition |
The function cheks the compatibility of each family using ‘fitlambdas’ then, the function ‘fitCBB’ is applied for each possible family . Partial and global good fit are showed.
Empirical |
empirical copula for (x,y) |
Copula |
best copulamodel evaluated in (u,v)=cumulative1(x),cumulative2(y) |
OptimumFit |
performance from the best copulamodel in the neighbourhood and between all copula's families pCBB1,..., pCBB7, pCMax, pCMin. Family in OptimumFit[1]; p.value in OptimumFit[2], delta in OptimumFit[3], theta in OptimumFit[4], MSE in OptimumFit[5] |
Initial.BBi |
For i in 1,...,7. Initial values for BBi family provided by the fitlambdas function. If Initial.BBi[1]=FALSE BBi, the BBi family is excluded (because empirical evidence from the data shows that this family is not appropriated). If Initial.BBi[1]=TRUE BBi, theta e delta suggested from fitlambdas function is showed in Initial.BBi[2] and Initial.BBi[3] respectively. |
Final.BBi |
For i in 1,...,7, we have the characteristics from the best fit in BBi family. If Final.BBi[1]=FALSE BBi, the BBi family is excluded (only when the family was excluded in Initial. BBi). In other case ,Final.BBi[1]=p.value (from test); the best theta e delta are showed in Final.BBi[2] and Final.BBi[3] respectively. |
Initial.CMax (Initial.CMin) |
like Initial.BBi (in this kind of component theta and delta do not have sense) |
Final.CMax (Final.CMin) |
like Final.BBi |
Veronica A. Gonzalez-Lopez
Veronica A. Gonzalez-Lopez and Nelson I. Tanaka. ‘Bi-variate Data Modeling Through Generalized Archimedean Copula’ RT-MAE 2003-03
1 2 3 4 5 6 7 8 9 | #x<-rnorm(100)
#y<-x/100+rnorm(100,5,2)
#M<-OptimCBB(x=x,y=y)
#
#x<-rbeta(50,2,3)
#y<-0.5*x+rgamma(50,1,2)
#M<-OptimCBB(x,y,m=30,step=0.5,test="t",empcumulative=TRUE)
#M<-OptimCBB(x,y,m=30,step=0.5,test="w",empcumulative=FALSE,cumulative1=pbeta,
#cumulative2=pempirical,parameters1=c(2,3))
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.