cloglik: Computation of log-Likelihood of Copulas

In AlexanderRitz/copR: Archimedean Copulas (copR)

Description

Calculates the log-Likelihood function of a chosen Copula family.

Usage

cloglik(copula, data, parameter = NULL)

Arguments

copula	A copula object. Decides the copula family for which the log-Likelihood function is to be calculated.
data	The data to base the Likelihood on. Data points have to be normed. Copula data has to lie within [0, 1]^d.
parameter	double. Optional argument. Desired Parameter value in case deviation from supplied copula object is desired.

Value

The value of the calculated log-Likelihood function.

References

Hofert et al. (2018). Elements of Copula Modeling with R. Springer.

Nelsen (2006). An introduction to copulas. Springer Series in Statistics. Second Edition.

See Also

cfit

Examples

exc <- claycop(par = 5, dim = 2)
U <- matrix(c(0.7026, 0.6359, 0.4116, 0.8833), nrow = 2, byrow = TRUE)
ll <- cloglik(copula = exc, data = U)

AlexanderRitz/copR documentation built on Oct. 30, 2019, 4:11 a.m.