mlecop function

Estimation of the parameter of a bivariate copula (Clayton, Frank, Gumbel)

Computes the MLE estimation for a bivariate copula using gradient. The likelihood is likelihood is c(u,v;theta)

mlecop(u, v, fcopders, start = 2, LB = 1.01, UB = 7)

Arguments

• u: vector of values in (0,1)
• 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)

Returns

• mle: List of outputs from nlm function

Examples

set.seed(2)
v = runif(250)
w = runif(250)
u = 1/sqrt(1+(w^(-2/3)-1)/v^2) # Clayton copula with parameter 2 (tau=0.5)
out = mlecop(u,v,fmtcjders)

Author(s)

Pavel Krupskii