search for: rho13

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2013 Apr 22
0
Copula fitMdvc:
...d1 <- Y1-as.matrix(cbind( 1,Xi))%*%fit1$coef resid2 <- Y2-as.matrix(cbind( 1,Xi))%*%fit2$coef resid3 <- Y3-as.matrix(cbind( 1,Xi))%*%fit3$coef sigma1<-sum(resid1*resid1)/nrow(Xi) sigma2<-sum(resid2*resid2)/nrow(Xi) sigma3<-sum(resid3*resid3)/nrow(Xi) rho12<- cor(resid1, resid2) rho13<- cor(resid1, resid3) rho23<- cor(resid2, resid3) library("copula") library(mvtnorm) x<-as.matrix(cbind( 1,Xi)) km<- as.numeric(ncol(x)) #Parameters beta <- rbind(rep(0,km)) sigma <- 1 rho <- 0.5 #user-defined functions dtobit1 <- function(beta,sigma,x,y1) {ifelse...
2013 Apr 21
1
Using copulas with user-defined marginal functions
...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,sigma=s3))) mydmvdc <- dMvdc(y, myMvdc) Error in eval(expr, envir, enclos)...