rvinecopulib (version 0.2.6.1.1)

bicop: Bivariate copula models

Description

Bivariate copula models

Usage

bicop(data, family_set = "all", par_method = "mle",
  nonpar_method = "quadratic", mult = 1, selcrit = "bic", psi0 = 0.9,
  presel = TRUE, keep_data = TRUE, cores = 1)
bicop_dist(family = "indep", rotation = 0, parameters = numeric(0))

Arguments

data

a matrix or data.frame (copula data should have approximately uniform margins).

family_set

a character vector of families; see Details for additional options.

par_method

the estimation method for parametric models, either "mle" for maximum likelihood or "itau" for inversion of Kendall's tau (only available for one-parameter families and "t".

nonpar_method

the estimation method for nonparametric models, either "constant" for the standard transformation estimator, or "linear"/"quadratic" for the local-likelihood approximations of order one/two.

mult

multiplier for the smoothing parameters of nonparametric families. Values larger than 1 make the estimate more smooth, values less than 1 less smooth.

selcrit

criterion for family selection, either "loglik", "aic", "bic", "mbic". For vinecop() there is the additional option "mbicv".

psi0

see mBICV().

presel

whether the family set should be thinned out according to symmetry characteristics of the data.

keep_data

whether the data should be stored (necessary for computing fit statistics and using fitted()).

cores

number of cores to use; if more than 1, estimation for multiple families is done in parallel.

family

the copula family, a string containing the family name (see Details for all possible families).

rotation

the rotation of the copula, one of 0, 90, 180, 270.

parameters

a vector or matrix of copula parameters.

Value

Objects inheriting from bicop_dist for bicop_dist(), and bicop and bicop_dist for bicop().

Details

The implemented families are:

"indep" = Independence copula. "gaussian" = Gaussian copula. "t" = Student t copula. "clayton" = Clayton copula. "gumbel" = Gumbel copula. "frank" = Frank copula. "joe" = Joe copula. "bb1" = BB1 copula. "bb6" = BB6 copula. "bb7" = BB7 copula. "bb8" = BB8 copula. "tll" = transformation kernel local likelihood, only for bicop().

In addition, the following convenience definitions can be used (and combined) with bicop:

"all" = all families. "parametric" = parametric families. "nonparametric" = nonparametric families. "archimedean" = archimedean families. "elliptical" = elliptical families. "bbs" = BB families. "oneparametric" = one parameter families. "twoparametric" = two parameter families. "itau" = one parameter families and Student t copula. Partial matching is activated. For example, "gauss" is equivalent to "gaussian", or you can write "nonpar" instead of "nonparametric".

Examples

# NOT RUN {
## bicop_dist objects
bicop_dist("gaussian", 0, 0.5)
str(bicop_dist("gauss", 0, 0.5))
bicop <- bicop_dist("clayton", 90, 3)

## bicop objects
u <- rbicop(500, "gauss", 0, 0.5)
fit1 <- bicop(u, "par")
fit1

# }