FactorCopulaModel (version 0.1.1)

ml1factor_v2: min negative log-likelihood for 1-factor copula model (some parameters can be fixed)

Description

min negative log-likelihood (nllk) for 1-factor copula model (some parameters can be fixed)

Usage

ml1factor_v2(nq,start,ifixed,udata,dcop,LB=0,UB=1.e2,prlevel=0,mxiter=100)

Value

nlm object with nllk value, estimate, hessian at MLE

Arguments

nq

number of quadrature points

start

starting point (d-vector or m*d vector, e.g. 2*d vector for BB1)

ifixed

vector of length(param) of True/False, such that ifixed[i]=TRUE iff param[i] is fixed at the given value start[j]

udata

nxd matrix of uniform scores

dcop

name of function for a bivariate copula density (common for all variables)

LB

lower bound on parameters (scalar or same dimension as start)

UB

upper bound on parameters (scalar or same dimension as start)

prlevel

printlevel for nlm()

mxiter

maximum number of iteration for nlm()