direct_GCNB_AR1_likelihood: direct_GCNB_AR1_likelihood

In hlennon/copulaIVTS: Dependence modelling of a digitised Gaussian ARMA(p,q) copula model for Integer-Valued Time Series

Description

Direct Likelihood evaluation Ar1 Requires: mnormt, mvtnorm

Usage

direct_GCNB_AR1_likelihood(rho, p, s, data, method="mnormt")

Arguments

rho	AR(1) dependence structure with parameter rho
nb.p	X_t ~ NB (p, s)
nb.s	X_t ~ NB (p, s)
data	observed data
method	a string of value "mnormt" or "mvtnorm" only

Details

Evaluated likelihood function directly

Value

A numeric value of the evaluated likelihood function given the observed data and parameters rho, nb.p and nb.s.

Note

Only AR(1) dependence structure is used, it is not generalisd to ARMA(p,q)

Author(s)

Hannah Lennon <[e-mail]>

References

Shi and Valdez, (2012), Longitudinal Modelling of Insurance Claims using Jittering.

Examples

library(mnormt)
library(mvtnorm)


n <- 4
set.seed(n)
simdata    <- arima.sim(n, model=list(ar=0.7))
data       <- qnbinom(pnorm(simdata), prob=0.3, size=3)
cov        <- ARMAacf(ar=0.7, lag.max=n-1, pacf=FALSE)

direct_GCNB_ARMA_likelihood(cov, 0.3, 3, data, method="mnormt")
direct_GCNB_AR1_likelihood(0.7,  0.3, 3, data, method="mnormt")

direct_GCNB_ARMA_likelihood(cov,  0.3, 3, data, method="mvtnorm")
direct_GCNB_AR1_likelihood(0.7,  0.3, 3, data, method="mvtnorm")

hlennon/copulaIVTS documentation built on Dec. 20, 2021, 4:45 p.m.