mlCopulaSelection-package {mlCopulaSelection} | R Documentation |
Use numerical maximum likelihood to choose and fit a bivariate copula model (from a library of 40 models) to the data. The copula models in the library correspond to BB1, BB2,...,BB10 from Joe, H., (1997) and its 90, 180 and 270 degree rotations.
Package: | mlCopulaSelection |
Type: | Package |
Version: | 1.3 |
Date: | 2006-08-12 |
License: | GPL version 2. |
Jesus Garcia, IMECC-UNICAMP and Veronica Gonzalez-Lopez, IMECC-UNICAMP
Maintainer: Jesus Garcia <jg@ime.unicamp.br>
Joe, H., (1997). Multivariate Models and Dependence Concepts. Monogra. Stat. Appl. Probab. 73, London: Chapman and Hall.
# The Data (the margins are uniform) U <- c( 0.43, 0.1, 0.2, 0.33, 0.24, 0.29, 0.14, 0.4, 0.39, 0.8, 0.63, 0.16, 0.24, 0.14,0.71, 0.39, 0.48, 0.29, 0.38, 0.37) V <- c(0.01, 0.26, 0.2, 0.36, 0.34, 0.43, 0.27, 0.61, 0.08, 0.25, 0.72, 0.15, 0.14, 0.12, 0.74, 0.18, 0.58, 0.15, 0.34, 0.13) # find the maximun likelihood estimates res<-mlcbbsel(U,V) #the best fitting copula model: res$copmax #the parameters for the best fitting copula model: res$parmax #the log-likelihood of the best fitting copula model with those parameters: res$llmax