choose_copula: Estimation of the Extra Parameter of the NSM Copula in the...

In rdmatheus/BCNSM: Multivariate Box-Cox Symmetric Distributions Generated by a Normal Scale Mixture Copula

Estimation of the Extra Parameter of the NSM Copula in the Fit of the BCNSM Distribution

Description

Estimation of the extra parameter of the NSM copula in the fit of the BCNSM distribution via profile log-likelihood.

Usage

choose_copula(
  object,
  grid,
  copula,
  trace = TRUE,
  plot = TRUE,
  control = control_fit(...),
  ...
)

Arguments

object	an "bcnsm" object.
grid	grid of values that will be used to evaluate the profiled log-likelihood function. If the tweaks are not computationally intensive, we suggest grid = 1:15.
copula	character; informs which normal scale mixture distribution should be used to generate the NSM copula. Currently, the copulas available are: Gaussian ("gaussian"), Student's t ("t"), slash ("slash"), and hyperbolic ("hyp").
trace	logical; if TRUE, a summary with the profiled log-likelihood value, the AIC, the BIC, and the run-time of the fit is displayed.
plot	logical; if TRUE, a graph of the profiled log-likelihood evaluated in the considered grid of values is shown.
control	a list of control arguments specified via control_fit.
...	further arguments passed to control_fit.

Value

An object of class "choose_copula". More specifically, it returns a list in which each element consists of the fit of the BCNSM distribution with each value of the extra parameter specified in grid.

Author(s)

Rodrigo M. R. de Medeiros <[e-mail]>

References

Vanegas, L. H., and Paula, G. A. (2016). Log-symmetric distributions: statistical properties and parameter estimation. *Brazilian Journal of Probability and Statistics*, 30, 196-220.

Ferrari, S. L. P., and Fumes, G. (2017). Box-Cox symmetric distributions and applications to nutritional data. *AStA Advances in Statistical Analysis*, 101, 321-344.

Medeiros, R. M. R. de, and Ferrari, S. L. P. (2023). Multivariate Box-Cox symmetric distributions generated by a normal scale mixture copula.

rdmatheus/BCNSM documentation built on Feb. 8, 2024, 1:28 a.m.