bicop: Fit and select bivariate copula models

In rvinecopulib: High Performance Algorithms for Vine Copula Modeling

Fit and select bivariate copula models

Description

Fit a bivariate copula model for continuous or discrete data. The family can be selected automatically from a vector of options.

Usage

bicop(
  data,
  var_types = c("c", "c"),
  family_set = "all",
  par_method = "mle",
  nonpar_method = "quadratic",
  mult = 1,
  selcrit = "aic",
  weights = numeric(),
  psi0 = 0.9,
  presel = TRUE,
  keep_data = FALSE,
  cores = 1
)

Arguments

data	a matrix or data.frame with at least two columns, containing the (pseudo-)observations for the two variables (copula data should have approximately uniform margins). More columns are required for discrete models, see Details.
var_types	variable types, a length 2 vector; e.g., c("c", "c") for both continuous (default), or c("c", "d") for first variable continuous and second discrete.
family_set	a character vector of families; see Details for additional options.
par_method	the estimation method for parametric models, either "mle" for maximum likelihood or "itau" for inversion of Kendall's tau (only available for one-parameter families and "t".
nonpar_method	the estimation method for nonparametric models, either "constant" for the standard transformation estimator, or "linear"/"quadratic" for the local-likelihood approximations of order one/two.
mult	multiplier for the smoothing parameters of nonparametric families. Values larger than 1 make the estimate more smooth, values less than 1 less smooth.
selcrit	criterion for family selection, either "loglik", "aic", "bic", "mbic". For vinecop() there is the additional option "mbicv".
weights	optional vector of weights for each observation.
psi0	see mBICV().
presel	whether the family set should be thinned out according to symmetry characteristics of the data.
keep_data	whether the data should be stored (necessary for using fitted()).
cores	number of cores to use; if more than 1, estimation for multiple families is done in parallel.

Details

If there are missing data (i.e., NA entries), incomplete observations are discarded before fitting the copula.

Discrete variables

When at least one variable is discrete, more than two columns are required for data: the first n \times 2 block contains realizations of F_{X_1}(x_1), F_{X_2}(x_2). The second n \times 2 block contains realizations of F_{X_1}(x_1^-), F_{X_1}(x_1^-). The minus indicates a left-sided limit of the cdf. For, e.g., an integer-valued variable, it holds F_{X_1}(x_1^-) = F_{X_1}(x_1 - 1). For continuous variables the left limit and the cdf itself coincide. Respective columns can be omitted in the second block.

Family collections

The family_set argument accepts all families in bicop_dist() plus the following convenience definitions:

• "all" contains all the families,

• "parametric" contains the parametric families (all except "tll"),

• "nonparametric" contains the nonparametric families ("indep" and "tll")

• "onepar" contains the parametric families with a single parameter,

("gaussian", "clayton", "gumbel", "frank", and "joe"),

• "twopar" contains the parametric families with two parameters ("t", "bb1", "bb6", "bb7", and "bb8"),

• "elliptical" contains the elliptical families,

• "archimedean" contains the archimedean families,

• "BB" contains the BB families,

• "itau" families for which estimation by Kendall's tau inversion is available ("indep","gaussian", "t","clayton", "gumbel", "frank", "joe").

Value

An object inheriting from classes bicop and bicop_dist . In addition to the entries contained in bicop_dist(), objects from the bicop class contain:

• data (optionally, if keep_data = TRUE was used), the dataset that was passed to bicop().

• controls, a list with the set of fit controls that was passed to bicop().

• loglik the log-likelihood.

• nobs, an integer with the number of observations that was used to fit the model.

See Also

bicop_dist(), plot.bicop(), contour.bicop(), dbicop(), pbicop(), hbicop(), rbicop()

Examples

## fitting a continuous model from simulated data
u <- rbicop(100, "clayton", 90, 3)
fit <- bicop(u, family_set = "par")
summary(fit)

## compare fit with true model
contour(fit)
contour(bicop_dist("clayton", 90, 3), col = 2, add = TRUE)

## fit a model from discrete data
x_disc <- qpois(u, 1)  # transform to Poisson margins
plot(x_disc)
udisc <- cbind(ppois(x_disc, 1), ppois(x_disc - 1, 1))
fit_disc <- bicop(udisc, var_types = c("d", "d"))
summary(fit_disc)

rvinecopulib documentation built on March 7, 2023, 6:20 p.m.