CopulaGAMM (version 0.4.1)

mlecop.disc: Estimation of the parameter of a bivariate copula (Clayton, Frank, Gumbel) when the first observation is 0 or 1

Description

Computes the MLE estimation for a bivariate copula using gradient. The likelihood is likelihood is C(1-p|v;theta) if y=0 and 1-C(1-p|v;theta) if y=1

Usage

mlecop.disc(y, v, fcopders, start = 2, LB = 1.01, UB = 7)

Value

mle

List of outputs from nlm function

Arguments

y

vector of binary values 0 or 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 with parameter 2
y = as.numeric(u>0.6) # if one takes (u<4), one obtains a rotation of the Clayton!
out = mlecop.disc(y,v,fmtcjders)