R/fit_igcop.R

In vincenzocoia/cmc: Copula-Marginal Composition Method

#' Fit IG copula via MLE or CNQR
#' @param u,v Vectors of PIT scores
#' @param init Vector of initial copula parameter values for use in
#' the numerical optimizer.
#' @param method "nlm" and "optim" for MLE (representing the name of the
#' numerical optimizer); or "cnqr" for CNQR.
#' @param ... Other arguments to pass to numerical optimizer
fit_igcop_mle <- function(u, v, method = "nlm", init=c(2,2), ...) {
	nllh <- function(cpar) {
		if (cpar[1] <= 0) return(Inf)
		if (cpar[2] <= 1.2) return(Inf)
		-sum(copsupp::logdigcop(u, v, cpar))
	}
	if (method == "nlm") {
		.nlm <- stats::nlm(nllh, init, ...)
		return(.nlm$estimate)
	}
	if (method == "optim") {
		.optim <- stats::optim(init, nllh, ...)
		return(.optim$par)
	}
	stop("method must be either 'nlm' or 'optim'.")
}