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tobit
2013 Apr 21
1
Using copulas with user-defined marginal functions
I am trying to make a loglikelihood function using copulas. I am trying to
use mvdc to find the density function. When I run this I got the error that
the pdf and cdf of my function tobit doesn't exist. Can somebody guide me
where my mistake is?
dtobit <- function(beta,sigma, x, y) {ifelse(y>0, dnorm(y,x%*%beta,
sigma),(1-pnorm((x%*%beta)/sigma)))}
ptobit <- function(beta,sigma, x, y) {ifelse(y>0,
pnorm((y-x%*%beta)/sigma),(1-pnorm((x%*%beta)/sigma)))}
myMvdc <- mvdc(copula = ellipCopula("normal", param = c(rho12, rho13,...