sbgcop-package {sbgcop} | R Documentation |
This package estimates parameters of a Gaussian copula, treating the univariate marginal distributions as nuisance parameters as described in Hoff(2007). It also provides a semiparametric imputation procedure for missing multivariate data.
Package: | sbgcop |
Type: | Package |
Version: | 0.95 |
Date: | 2007-03-09 |
License: | GPL Version 2 or later |
This function produces MCMC samples from the posterior distribution of a correlation matrix, using a scaled inverse-Wishart prior distribution and an extended rank likelihood. It also provides imputation for missing values in a multivariate dataset.
Peter Hoff <hoff@stat.washington.edu>
Hoff (2007) ``Extending the rank likelihood for semiparametric copula estimation''
fit<-sbgcop.mcmc(swiss) summary(fit) plot(fit)