gumbel_loglik_copula_scale {Surrogate}

Loglikelihood on the Copula Scale for the Gumbel Copula

Description

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

C(u, v) = \exp \left[ - \left\{ (-\log u)^{\theta} + (-\log v)^{\theta} \right\}^{\frac{1}{\theta}} \right]

Usage

gumbel_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.