Displaying 7 results from an estimated 7 matches for "parammargins".
2010 Jun 09
0
fitting t copula
...ls. But I got error message which I don't really understand.
Thank you for any help given.
myCop.t <- ellipCopula(family = "t", dim = 2, dispstr = "toep", param = 0.5, df = 8)
myCop.t
myMvd <- mvdc(copula = myCop.t, margins = c("gamma", "gamma"), paramMargins = list(list(mean = 0, sd = 2), list(mean = 0,
sd = 1)))
myMvd
dat <- stn_pos ## observed data
loglikMvdc(c(0, 2, 0, 1, 0.5,8), dat, myMvd) ## loglikelihood
mm <- apply(dat, 2, mean)
vv <- apply(dat, 2, var)
rho <- rcorr(stn_pos,type="spearman")[[1]]; round(rho,2)
rbind(mm,vv...
2013 Apr 21
1
Using copulas with user-defined marginal functions
...ta,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,sigma=s3)))
mydmvdc <- dMvdc(y, myMvdc)
Error in eval(expr, envir, enclos) : could not find function "ptobit"
Thanks in advance,
Elisa.
[[alternative HTML version deleted]]
2013 Apr 22
0
Copula fitMdvc:
...a,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$coef,sigma=sigma3)))
start <- as.vector(c(fit1$coef,sigma1, fit2$coef,sigma2,
fit3$coef,sigma3,rho12,rho13,rho23))
#MLE
fit <- fitMvdc(as.matrix(cbind(Y1,Y2,Y3)), myMvdc , start = start ,
optim.contro...
2013 May 03
0
Empirica Copula
...per,rate=0.5)}
qper<-function(per){qexp(c(seq(0,1,.01)),per, rate=0.5)}
gmb<-gumbelCopula(3,dim=2) # create bivariate copula object with dim=2
#tau(gmb)
## construct a bivariate distribution with defined marginals
myCDF<- mvdc(gmb, margins=c("exp","exp"),
paramMargins=list(list(rate=0.5),list(rate=0.5)))
# Use own data for bivariate CDF construction
myCDF2<- mvdc(gmb, margins=c("SAR","per"),
paramMargins=list(list(rate=.5),list(rate=.5)))
# Generate (bivariate) random numbers from that, and visualize
x <- rMvdc(1000, myCDF...
2011 Jun 01
0
problems with copula
...can't add a number of
margins> 3, I have a problem with the graphics.
Post here my script:
> myCop.norm <- ellipCopula(family = "normal", dim = 3, param = 0.4)
> myMvd <- mvdc(copula = myCop.norm, margins = c("norm", "norm","norm"),
> paramMargins = list(list(mean = 0, sd = 2), list(mean = 0, sd =
> 1),list(mean=0,sd=2)))
persp(myMvd, dmvdc, xlim = c(-4, 4), ylim=c(-4, 4),main="Normal copula")
I obtain the following message of error :
"Error in eval index out of bound"
Help me!!!! thanks
http://r.789695.n4.nab...
2010 Jun 10
0
error message fitting tcopula
...e = b[2], log = TRUE))
ctrl <- list(fnscale = -1)
#dat <- stn_pos[,1:2] ## observed data
myCop.t <- ellipCopula(family = "t", param = 0.5,dim = 2, dispstr = "un", df = 8)
myCop.t
myMvd <- mvdc(copula = myCop.t, margins = c("gamma", "gamma"), paramMargins = list(list(shape = 1.5, scale = 38),
list(shape = 1.7, scale = 50)))
myMvd
n <- 200
dat <- rmvdc(myMvd, n)
mm <- apply(dat, 2, mean)
vv <- apply(dat, 2, var)
rho <- rcorr(dat,type="spearman")[[1]]; round(rho,2)
rbind(mm,vv)
b1.0 <- c(mm[1]^2/vv[1], vv[1]/mm[1])
b2....
2010 Jun 10
0
error message in fitting tcopula
...,
log = TRUE))
ctrl <- list(fnscale = -1)
#dat <- stn_pos[,1:2] ## observed data
myCop.t <- ellipCopula(family = "t", param = 0.5,dim = 2, dispstr =
"un", df = 8)
myCop.t
myMvd <- mvdc(copula = myCop.t, margins = c("gamma", "gamma"),
paramMargins = list(list(shape = 1.5, scale = 38),
list(shape = 1.7, scale = 50)))
myMvd
n <- 200
dat <- rmvdc(myMvd, n)
mm <- apply(dat, 2, mean)
vv <- apply(dat, 2, var)
rho <- rcorr(dat,type="spearman")[[1]]; round(rho,2)
rbind(mm,vv)
b1.0 <- c(mm[1]^2/vv[1], vv[1]...