Displaying 4 results from an estimated 4 matches for "fitmvdc".
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
2010 Jun 09
0
fitting t copula
...ply(dat, 2, var)
rho <- rcorr(stn_pos,type="spearman")[[1]]; round(rho,2)
rbind(mm,vv)
b1.0 <- c(mm[1]^2/vv[1], vv[1]/mm[1])
b2.0 <- c(mm[2]^2/vv[2], vv[2]/mm[2])
a.0 <- sin(cor(dat[, 1], dat[, 2], method = "kendall") * pi/2)
start <- c(b1.0, b2.0, a.0)
fit <- fitMvdc(dat, myMvd, start = start,optim.control = list(trace = TRUE, maxit = 2000))
fit
#################
> head(dat);tail(dat)
[,1] [,2]
[1,] 28.4 43.5
[2,] 9.2 7.4
[3,] 48.8 68.9
[4,] 185.2 115.7
[5,] 4.1 11.7
[6,] 67.6 29.8
[,1] [,2]
[946,] 8.8 17.2
[947,] 119.6 164....
2006 May 12
3
Maximum likelihood estimate of bivariate vonmises-weibulldistribution
Thanks Dimitris!!! That's much clearer now. Still have a lot of work to
do this weekend to understand every bit but your code will prove very
useful.
Cheers,
Aziz
-----Original Message-----
From: Dimitrios Rizopoulos [mailto:Dimitris.Rizopoulos at med.kuleuven.be]
Sent: May 12, 2006 4:35 PM
To: Chaouch, Aziz
Subject: RE: [R] Maximum likelihood estimate of bivariate
2013 Apr 22
0
Copula fitMdvc:
...("tobit1", "tobit2", "tobit3"),
paramMargins = list(list(beta=fit1$coef,sigma=sigma1),
list(beta=fit2$coef,sigma=sigma2), list(beta=fit3$coef,sigma=sigma3)))
start <- as.vector(c(fit1$coef,sigma1, fit2$coef,sigma2,
fit3$coef,sigma3,rho12,rho13,rho23))
#MLE
fit <- fitMvdc(as.matrix(cbind(Y1,Y2,Y3)), myMvdc , start = start ,
optim.control = list(trace = TRUE, maxit = 2000))
length(myMvdc@paramMargins)
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