Displaying 6 results from an estimated 6 matches for "claytoncopula".
2017 Aug 06
1
Help with optim function in R, please?
...ew values of the parameter (from M-step) and plug it in the weight, to get a new value of the weight. Then, iterate till converges.
I tried the following code, but it does not work.
library(copula)
library(VineCopula)
## to generate the data
set.seed(123)
cp <- mixCopula(list(frankCopula(4),claytonCopula(2)))
cop <- rCopula(100,cp)
x <- pobs(cop) ## this is the data
## my function including optim function
myfunc <- function(data,copula=list(frankCopula(4,dim=2), claytonCopula(0.5,dim=2)),maxit=200){
?
??# copula[[1]]@parameters <- par[1]
? # copula[[2]]@parameters <- par[2]
? optim_...
2008 Jul 30
2
Sampling two exponentials
Hi all,
I am going to sample two variables from two exponential distributions, but I want to specify a covariance structure between these two variables. Is there any way to do it in R? Or is there a "Multivariate Exponential" thing corresponding to the multivariate normal? Thanks in advance.
Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel:
2023 Nov 07
1
Concordance and Kendall's tau in copula
Dear
I estimate a sample selection model using the Clayton copula and Burr
and Gaussian marginal. I need to derive ther Kendall'sw tau from the
concordance coefficient by integration. I came across a way to do that
in R long time ago but cannot find it again. Can somewone tell me what
to read and what to use? Thank you.
Steven Yen
2011 Dec 09
1
Goodness of Fit for Copula
...w working on Archimedean copulas and try to test the goodness of fit.
Which packages I should use?
I have Clayton copula with parameter (5.35) and Frank (19.5).
I found this build function wrote by Yan and Ivan via R Packages, but I'm
not sure the matrix for x? Please advice.
e.g
gofCopula(claytonCopula(1),x)
Thank you
Regards,
Fayyad
[[alternative HTML version deleted]]
2006 May 12
3
Maximum likelihood estimate of bivariate vonmises-weibulldistribution
...an = 0,
sd = 1), list(mean = 0, sd = 1))) contour(x, dmvdc, xlim = c(-2.7, 2.7),
ylim = c(-2.7, 2.7))
x <- mvdc(gumbelCopula(2), c("norm", "norm"), list(list(mean = 0, sd =
1), list(mean = 0, sd = 1))) contour(x, dmvdc, xlim = c(-2.7, 2.7), ylim
= c(-2.7, 2.7))
x <- mvdc(claytonCopula(2), c("norm", "norm"), list(list(mean = 0, sd =
1), list(mean = 0, sd = 1))) contour(x, dmvdc, xlim = c(-2.7, 2.7), ylim
= c(-2.7, 2.7))
the values of the association parameter I've chosen in each copula
correspond to Kendall's tau 0.5; assuming also standard normal...
2006 Oct 08
2
Generating bivariate or multivariate data with known parameter values
Greetings,
I'm interested in generating data from various bivariate or
mulitivariate distributions (e.g. gamma, t, etc), where I can specify
the parameter values, including the correlations among the variables. I
haven't been able to dig anything up on the faq, but I probably missed
something. A nudge in the right direction would be appreciated.
David
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