search for: mymvdc

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2013 Apr 21
1
Using copulas with user-defined marginal functions
...unction 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, rho23),dim = 3, dispstr = "un"), margins = c("tobit", "tobit", "tobit"), paramMargins = list(list(beta=beta1,sigma=s1), list(beta=beta2,sigma=s2), list(beta=beta3,sigm...
2013 Apr 22
0
Copula fitMdvc:
...0, pnorm((Y2-x%*%beta)/sigma),(1-pnorm((x%*%beta)/sigma)))} dtobit3 <- function(beta,sigma,x,y3) {ifelse(Y3>0, dnorm(Y3,x%*%beta, sigma),(1-pnorm((x%*%beta)/sigma)))} ptobit3 <- function(beta,sigma,x,y3) {ifelse(Y3>0, pnorm((Y3-x%*%beta)/sigma),(1-pnorm((x%*%beta)/sigma)))} #mvdc object myMvdc <- mvdc(copula = ellipCopula("normal", param = c(rho12, rho13, rho23),dim = 3, dispstr = "un"), margins = c("tobit1", "tobit2", "tobit3"), paramMargins = list(list(beta=fit1$coef,sigma=sigma1), list(beta=fit2$coef,sigma=sigma2), list(beta=fit3$co...