cmethmo: Fitting of bivariate copula parameter by method of moments,...

In AlexanderRitz/copR: Archimedean Copulas (copR)

Description

Calculates a method of moments estimate of the parameter of a chosen bivariate Copula.

Usage

cmethmo(copula, data = NULL, tau = NULL, ...)

Arguments

copula	A copula object. Decides the copula family for which the parameter is to be estimated.
data	Matrix or dataframe of appropriate dimension (n x 2). The data to base the dependence measure on. Optional if "tau" is supplied.
tau	double. A value to take as Kendall's tau, to base the method of moments estimator on.
...	Arguments to be passed to corken, regarding treatment of missing values or faster function choice.

Value

A copula object with parameter theta chosen by inversion of Kendall's tau.

References

Frees and Valdez (1998). Understanding Relationships Using Copulas. North American Actuarial Journal 2(1):1-25. January 1998

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

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

Examples

exc <- claycop(par = 5, dim = 2)
U <- matrix(c(0.7026, 0.6359, 0.4116, 0.8833, 3.2175, 4.0357), nrow = 3,
byrow = TRUE)
mmc <- cmethmo(copula = exc, data = U)

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