fixParam {copula} | R Documentation |
Fix a Subset of a Copula Parameter Vector
Description
It is sometimes useful to keep fixed some components of a copula
parameter vector whereas the others are “free” and will be
estimated, e.g., by fitCopula
.
The first two functions set or modify the “fixedness”, whereas
isFree()
, isFreeP()
and nParam()
are utilities
enquiring about the “fixedness” of the parameters (of a copula).
Usage
fixParam(param, fixed = TRUE)
fixedParam(copula) <- value
isFreeP(param)
## S4 method for signature 'copula'
isFree(copula)
## and specific '*Copula' methods
## S4 method for signature 'copula'
nParam(copula, freeOnly = FALSE)
## and specific '*Copula' methods
Arguments
param |
numeric parameter vector |
fixed , value |
logical vector of the same length as |
copula |
a |
freeOnly |
logical (scalar) indicating if only free parameters should be counted or all. |
Value
fixParam(param)
returns a numeric
vector with
attribute "fixed"
(a logical
, either TRUE
or vector of the same length as param
) to indicate which
components of param
are to be held fixed or not.
fixedParam<-
, a generic function, returns a
"copula"
object
with a partly fixed parameter (slot), i.e., corresponding to
fixParam()
above.
See Also
fitCopula
for fitting;
t-copulas, tCopula(*, df.fixed=TRUE)
now uses parameter
fixing for "df"
.
setTheta()
for setting or changing the
non-fixed parameter values.
Examples
nc1 <- normalCopula(dim = 3, fixParam(c(.6,.3,.2), c(TRUE, FALSE,FALSE)),
dispstr = "un")
nc1
nc13 <- nc12 <- nc1
fixedParam(nc12) <- c(TRUE, TRUE, FALSE) ; nc12
fixedParam(nc13) <- c(TRUE, FALSE, TRUE) ; nc13
set.seed(17); x <- rCopula(100, nc1)
summary(f.13 <- fitCopula(nc13, x, method = "ml"))
f.13@copula # 'rho.2' is estimated; the others kept fixed
## Setting to 'FALSE' (removes the "fixed" parts completely):
nc0 <- nc13; fixedParam(nc0) <- FALSE
nc0
stopifnot(is.null(attributes(nc0@parameters)))