LoglikNCSCop function

Log-likelihood of a non-central squared copula

This function computes the log-likelihood vector of a non-central squared copula

LoglikNCSCop(alpha, U, family, p = 2)

Arguments

• alpha: unconstrained non-centrality parameters a1, a2, and unconstrained copula parameters.
• U: (nx2) data matrix of pseudo-observations.
• family: 'Gaussian' , 't' , 'Clayton' , 'Frank' , 'Gumbel'.
• p: number of different non-centrality parameters (0,1,2 default).

Returns

• LL: Vector of log-likelihoods

Examples

alpha = c(log(0.2),log(5),log(2),log(12));
param = c(0.5,2.5,0.5);
data = SimNCSCop('Clayton', 250, param);
LL = LoglikNCSCop(alpha,data,'Clayton')

Author(s)

Bouchra R. Nasri, August 14, 2019