| est_options {CopulaInference} | R Documentation |
Options for the estimation of the parameters of bivariate copula-based models
Description
Sets starting values, upper and lower bounds for the parameters. The bounds are based on those in the rvinecopulib package.
Usage
est_options(family, tau = 0.5)
Arguments
family |
Copula family: "gaussian", "t", "clayton", "frank", "gumbel", "joe", "plackett”, "bb1", "bb6", "bb7","bb8","ncs-gaussian", "ncs-clayton", "ncs-gumbel", "ncs-frank", "ncs-joe","ncs-plackett". |
tau |
Estimated Kendall's tau to compute a starting point (default is 0.5) |
Value
LB |
Lower bound for the parameters |
UB |
Upper bound for the parameters |
start |
Starting point for the estimation |
References
Nagler & Vatter (2002). rvinecopulib: High Performance Algorithms for Vine Copula Modeling. Version 0.6.2.1.3
Nasri (2020). On non-central squared copulas. Statistics and Probability Letters.
Nasri (2022). Test of serial dependence for arbitrary distributions. JMVA.
Nasri & Remillard (2023). Copula-based dependence measures for arbitrary data, arXiv 2301.07267.
Examples
out = est_options("bb8")