mlecop {CopulaGAMM}

R Documentation

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

Description

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

Usage

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)

Value

mle	List of outputs from nlm function

Author(s)

Pavel Krupskii

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)

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