fitMvdc {copula} | R Documentation |
Fits a copula-based multivariate distribution to multivariate data.
loglikMvdc(param, x, mvdc, suppressMessages=FALSE) fitMvdc(data, mvdc, start, optim.control = list(NULL), method = "BFGS")
param |
a vector of parameter values. When specifying parameters for
mvdc objects the parameters should be ordered with the marginals first
and the copula parameters last. When the mvdc object has
marginsIdentical = TRUE , only the parameters of one marginal
should be specified. |
x |
a data matrix. |
mvdc |
a "mvdc" object. |
suppressMessages |
logical, if TRUE, warnings messages from evaluating loglikelihood at invalid parameter values are suppressed. |
data |
a data matrix. |
start |
a vector of starting value for "param" . See "param"
above for ordering of this vector. |
optim.control |
a list of controls to be passed to "optim" . |
method |
the method for optim . |
The return value "loglikMvdc"
is the loglikelihood evaluated
for the given value of "param"
.
The return value of "fitMvdc"
is an object of class "fitMvdc"
containing slots:
estimate |
the estimate of the parameters. |
var.est |
large-sample variance estimate of the parameter estimator. |
loglik |
loglikelihood at "est" . |
copula |
the fitted copula. |
User-defined marginal distribution can be used as long as the
"{dpq}"
functions are defined. See demo(QARClayton)
prepared by Roger Koenker <rkoenker@uiuc.edu>.
When covariates are available for marginal distributions or for the copula,
one can construct the loglikelihood function and feed it to "optim"
to estimate all the parameters.
Finally, note that the fitting functions generate error messages
because invalid parameter values are tried during the optimization
process (see optim
).
gumbel.cop <- gumbelCopula(3, dim=2) myMvd <- mvdc(gumbel.cop, c("exp","exp"), list(list(rate=2),list(rate=4))) x <- rmvdc(myMvd, 1000) fit <- fitMvdc(x, myMvd, c(1,1,2)) fit #### Roger Koenker prepared a demo illustrating MLE for a Clayton AR(1) #### copula model with identical, uder-defined Student marginals ## demo("QARClayton")