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CopulaRegression (version 0.1-4)

mle_joint: ML-Estimates of the joint model.

Description

Computes the maximum-likelihood estimates for the regression coefficients and the copula parameter.

Usage

mle_joint(alpha0,beta0,theta0, delta0, x, y, R, S, family, exposure, sd.error,zt)

Arguments

alpha0
The starting value of the regression coefficients for the Gamma regression
beta0
The starting value of the regression coefficients for the (zero-truncated) Poisson regression
theta0
The starting value of the copula parameter
delta0
The starting value for the dispersion parameter of the Gamma distribution
x
n observations of the Gamma variable
y
n observations of the zero-truncated Poisson variable
R
n x p design matrix for the Gamma model
S
n x q design matrix for the zero-truncated Poisson model
family
an integer defining the bivariate copula family: 1 = Gauss, 3 = Clayton, 4=Gumbel, 5=Frank
exposure
exposure time for the zero-truncated Poisson model, all entries of the vector have to be $>0$. Default is a constant vector of 1.
sd.error
logical. Should the standard errors of the regression coefficients be returned? Default is FALSE.
zt
logical. If zt=TRUE, we use a zero-truncated Poisson variable. Otherwise, we use a Poisson variable. Default is TRUE.

Value

  • alphaestimated coefficients for X, including the intercept
  • betaestimated coefficients for Y, including the intercept
  • sd.alphaestimated standard deviation (if sd.error=TRUE)
  • sd.betaestimated standard deviation (if sd.error=TRUE)
  • sd.g.thetaestimated standard deviation of $g(\theta)$ (if sd.error=TRUE)
  • deltaestimated dispersion parameter
  • thetaestimated copula parameter
  • tauestimated value of Kendall's tau
  • familycopula family
  • llloglikelihood of the estimated model, evaluated at each observation
  • loglikoverall loglikelihood, i.e. sum of ll

Details

This is an internal function called by copreg.

References

N. Kraemer, E. Brechmann, D. Silvestrini, C. Czado (2013): Total loss estimation using copula-based regression models. Insurance: Mathematics and Economics 53 (3), 829 - 839.

See Also

copreg, mle_marginal

Examples

Run this code
##---- This is an internal function called by copreg() ----

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