liouv.maxim: Maximization of Liouville copula likelihood function

In lcopula: Liouville Copulas

Maximization of Liouville copula likelihood function

Description

Two methods, either numerical optimization or method-of-moments

Usage

liouv.maxim(
  data,
  family,
  interval,
  boundary = NULL,
  lattice.mat = NULL,
  return_all = FALSE,
  MC.approx = TRUE
)

Arguments

data	sample matrix from a Liouville copula
family	family of the Liouville copula. Either "clayton", "gumbel", "frank", "AMH" or "joe"
interval	interval over which to look for theta (bounds for Nelder-Mead)
boundary	vector of endpoints for search of Dirichlet allocation parameters. Either boundary or lattice.mat can be supplied
lattice.mat	matrix of tuples of Dirichlet allocation parameters at which to evaluate the likelihood
return_all	should all results (as list) or only maximum value be returned. Defaults to FALSE
MC.approx	whether to use Monte-Carlo approximation for the inverse survival function (default is TRUE)

Details

A wrapper to optim using the Nelder-Mead algorithm or using the methods of moments, to maxime pointwise given every alphavec over a grid. Returns the maximum for alphavec and theta.

Value

a list with values of theta and Dirichlet parameter along with maximum found. Gives index of maximum amongst models fitted.

Examples

## Not run: 
 data <- rliouv(n=100, family="joe", alphavec=c(1,2), theta=2)
 liouv.maxim(data=data, family="j", interval=c(1.25,3), boundary=c(2,2),return_all=TRUE)
 lattice.mat <- t(combn(1:3,2))
 liouv.maxim(data=data, family="j", interval=c(1.25,3), lattice.mat=lattice.mat, return_all=FALSE)
 #data <- rliouv(n=1000, family="gumbel", alphavec=c(1,2), theta=2)
 liouv.maxim.mm(data=data, family="gumbel", boundary=c(3,3),return_all=TRUE)
 lattice.mat <- t(combn(1:3,2))
 liouv.maxim.mm(data=data, family="gumbel", lattice.mat=lattice.mat, return_all=FALSE)

## End(Not run)

lcopula documentation built on May 29, 2024, 5:42 a.m.