CopulaGAMM (version 0.4.1)

mlecop: Estimation of the parameter of a bivariate copula (Clayton, Frank, Gumbel)

Description

Computes the MLE estimation for a bivariate copula using gradient. The likelihood is likelihood is c(u,v;theta)

Usage

mlecop(u, v, fcopders, start = 2, LB = 1.01, UB = 7)

Value

mle

List of outputs from nlm function

Arguments

u

vector of values in (0,1)

v

vector of values in (0,1)

fcopders

ffrkders, fgumders or fmtcjders

start

starting value for the parameter (default =2)

LB

lower bound for the parameter (default is 1.01)

UB

upper bound for the parameter (default is 7)

Author

Pavel Krupskii

Examples

set.seed(2)
v = runif(250)
w = runif(250)
u = 1/sqrt(1+(w^(-2/3)-1)/v^2) # Clayton copula with parameter 2 (tau=0.5)
out = mlecop(u,v,fmtcjders)