fitCopulaOne: Model fitting with CopulaOne

In larryleihua/CopulaOne: A Collection of full-range tail dependence Copulas

Model fitting with CopulaOne

Description

Fit bivariate data with the full-range tail dependence copula based on maximum likelihood

Usage

fitCopulaOne(
  par0,
  patternpar = seq(1, length(par0)),
  dat,
  flag = 1,
  integration = F,
  opt = "L-BFGS-B",
  se = F,
  lower = rep(0.1, length(unique(patternpar))),
  upper = rep(5, length(unique(patternpar))),
  trace = 0,
  factr = 1e+09,
  printlevel = 0,
  copula_family = "PPPP"
)

Arguments

trace,	printlevel: integers for optim() and nlm(), respectively. (default: 0,0)
par:	initial parameters for (a, b)
patternpar:	a vector for assigning parameters to be estimated, and this allows same values of different parameters. For example, if patternpar=c(1,2,3,0,3), then there are 3 parameters to estimate, the 3rd and 5th ones are the same, and the 4th parameter is fixed as specified in the initial parameters (i.e., par)
dat:	input of data.
flag:	indicate which numerical method for the appell function (default: flag = 1)
integration:	(Experimental!) using integration instead of appellf1()
se:	whether standard errors of parameters are reported (default: se = F)

Examples

# DO NOT run, and it takes time!
data("euro0306")
dat <- uscore(euro0306[,c(2,3)])[1:100,]
par0 <- c(0.3, 0.3)
fit <- fitCopulaOne(par0, dat=dat, copula_family="GGEE")
par0 <- c(0.3, 0.3, 1, 1)
lower <- rep(0.1, 2)
upper <- rep(5, 2)
par0 <- c(0.3, 0.3, 1, 1)
patternpar <- c(1,2,0,0) # the last two parameters are not to be estimated and fixed to be 1 as indicated in par0
fit1 <- fitCopulaOne(par0, patternpar=patternpar, dat=dat, lower=lower, upper=upper, copula_family="PPPP")
patternpar <- c(1,2,3,3) # the last two parameters are the same and are to be estimated
fit2 <- fitCopulaOne(par0, patternpar=patternpar, dat=dat, lower=lower, upper=upper, copula_family="PPPP")

larryleihua/CopulaOne documentation built on Jan. 18, 2024, 5:28 a.m.