R/mple_com_ikte_t.R

In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.

#' mple_com_ikte_t
#'
#' @param rho rho of which to get loglikelihood of MPLE and IKTE fr t copula
#'
#' @return matrix with loglikelihood of the two estimators
#' @export
#'
mple_com_ikte_t <- function(rho) {
  out <- matrix(ncol = 2, nrow = length(rho))
  for (i in 1:length(rho)){
    set.seed(271)
    tc <- tCopula(rho[i], dim = 3, df = 7)
    U <- pobs(rCopula(1000, copula = tc))
    fit.t <- fitCopula(tCopula(, dim = 3, dispstr = "un"), data = U)
    mple_rho <- fit.t@loglik
    fit.t. <- fitCopula(tCopula(, dim = 3, dispstr = "un"), data = U, method = "itau.mpl")
    ikte <- fit.t.@loglik
    out[i,] <- c(mple_rho, ikte)
  }
  colnames(out) <- c("MPLE", "IKTE")
  rownames(out) <- rho
  return(t(out))
}