gaussian_loglik_copula_scale {Surrogate}

Loglikelihood on the Copula Scale for the Gaussian Copula

Description

gaussian_loglik_copula_scale() computes the loglikelihood on the copula scale for the Gaussian copula which is parameterized by theta as follows:

C(u, v) = \Psi \left[ \Phi^{-1} (u), \Phi^{-1} (v) | \rho \right]

Usage

gaussian_loglik_copula_scale(theta, u, v, d1, d2)

Arguments

theta

Copula parameter

u

A numeric vector. Corresponds to first variable on the copula scale.

v

A numeric vector. Corresponds to second variable on the copula scale.

d1

An integer vector. Indicates whether first variable is observed or right-censored,

• d1[i] = 1 if u[i] corresponds to non-censored value

• d1[i] = 0 if u[i] corresponds to right-censored value

• d1[i] = -1 if u[i] corresponds to left-censored value

d2

An integer vector. Indicates whether first variable is observed or right-censored,

• d2[i] = 1 if v[i] corresponds to non-censored value

• d2[i] = 0 if v[i] corresponds to right-censored value

• d2[i] = -1 if v[i] corresponds to left-censored value

Value

Value of the copula loglikelihood evaluated in theta.