nllopthr: Wrapper for the Husler-Reiss model

In lbelzile/ExtLiouv: Functions for 'Extremal attractor of Liouville copulas'

Description

This function takes as argument the parameters of the Husler-Reiss bivariate distribution and passes them to the C++ function.

Usage

nllopthr(optpar, fixedpar, wfixed, numpar, transform = FALSE, dat, thid, N,
  lambda, u, datmarg)

Arguments

optpar	vector of parameters over which to optimize
fixedpar	vector of parameters to keep constant
wfixed	is vector of int with indices of data points
numpar	vector integer giving the length of each parameter (scale, shape, ...)
transform	boolean indicating whether to exp (expit for rho) the parameters for optimization
dat	data matrix
thid	logical matrix indicating whether entries exceed the marginal threshold
N	total sample size
lambda	vector of marginal rates of exceedance
u	vector of thresholds

Value

the negative log-likelihood value

lbelzile/ExtLiouv documentation built on May 20, 2019, 8:28 p.m.