enacopula: Estimation Procedures for (Nested) Archimedean Copulas

Description

A set of ten different estimators, currently for one-parameter Archimedean copulas, of possibly quite high dimensions.

Usage

enacopula(u, cop,
          method = c("mle", "smle", "dmle",
                     "mde.chisq.CvM", "mde.chisq.KS",
                     "mde.gamma.CvM", "mde.gamma.KS",
                     "tau.tau.mean", "tau.theta.mean", "beta"),
          n.MC = if (method == "smle") 10000 else 0,
          interval = initOpt(cop@copula@name),
          xargs = list(), ...)

Arguments

$n\times d$-matrix of (pseudo-)observations (each value in $[0,1]$) from the copula to be estimated, where $n$ denotes the sample size and $d$ the dimension. Consider applying the function pobs fi

cop

outer_nacopula to be estimated (currently only Archimedean copulas are provided).

method

a character string specifying the estimation method to be used, which has to be one (or a unique abbreviation) of [object Object],[object Object],[object Object],[object Object],[object Object

n.MC

only for method = "smle": integer, sample size for simulated maximum likelihood estimation.

interval

bivariate vector denoting the interval where optimization takes place. The default is computed as described in Hofert et al. (2011a). Used for all methods except "tau.tau.mean" and "tau.theta.mean".

xargs

list of additional arguments for the chosen estimation method.

...

additional arguments passed to optimize.

Value

the estimated parameter, $\hat{\theta}$, that is, currently a number as only one-parameter Archimedean copulas are considered.

Details

enacopula serves as a wrapper for the different implemented estimators and provides a uniform framework to utilize them. For more information, see the single estimators as given in the section See Also.

Note that Hofert, Mächler{Maechler}, and McNeil (2011a) compared these estimators. Their findings include a rather poor performance and numerically challenging problems of some of these estimators. In particular, the estimators obtained by method="mde.gamma.CvM", method="mde.gamma.KS", method="tau.theta.mean", and method="beta" should be used with care (or not at all). Overall, MLE performed best (by far).

References

Hofert, M., Mächler{Maechler}, M., and McNeil, A. J. (2011a). Estimators for Archimedean copulas in high dimensions: A comparison, to be submitted.

Hofert, M., Mächler{Maechler}, M., and McNeil, A. J. (2011b). Likelihood inference for Archimedean copulas, submitted.

Examples

Run this code

tau <- 0.25
(theta <- copGumbel@tauInv(tau)) # 4/3
d <- 20
(cop <- onacopulaL("Gumbel", list(theta,1:d)))

set.seed(1)
n <- 200
U <- rnacopula(n, cop)

(meths <- eval(formals(enacopula)$method)) # "mle", "smle", ...
fun <- function(meth, u, cop, theta){
	run.time <- system.time(val <- enacopula(u, cop=cop, method=meth))
	list(value=val, error=val-theta, utime.ms=1000*run.time[[1]])
}
(res <- sapply(meths, fun, u=U, cop=cop, theta=theta))

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