Displaying 1 result from an estimated 1 matches for "c_density".
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x_density
2009 Sep 23
1
Maximum Likelihood Est. regarding the degree of freedom of a multivariate skew-t copula
...ha<-c(0,0)
ber1<-c(-25,25)
ber2<-c(-25,25)
z<-vector(length=length(P_dax))
s<-0
for(i in 2:length(P_dax)) {
for(j in 1:(i-1)) {
s<-s+sign((P_dax[j]-P_dax[i])*(P_nik[j]-P_nik[i]))
}
}
s<-s/choose(length(P_dax),2)
ndiag<-sin(pi*s/2)
Omega[2,1]<-Omega[1,2]<-ndiag
c_density <- function(v) {
df<-v[1]
for(i in 1:length(P_dax)) {
f <- function(z) {
pmst(z, xi[1],Omega[1,1],alpha[1],df)-P_dax[i]
}
u1[i]<-uniroot(f,ber1,tol=0.000001)$root
f <- function(z) {
pmst(z, xi[2],Omega[2,2],alpha[2],df)-P_nik[i]
}
u2[i]<-uniroot(f,ber2,tol=0.000001)$root...