Learn R Programming

CopulaRegression (version 0.1-5)

mle_joint: ML-Estimates of the joint model.

Description

Computes the maximum-likelihood estimates for the regression coefficients and the copula parameter.

Usage

mle_joint(alpha0,beta0,theta0, delta0, x, y, R, S, family, exposure, sd.error,zt)

Arguments

alpha0
The starting value of the regression coefficients for the Gamma regression
beta0
The starting value of the regression coefficients for the (zero-truncated) Poisson regression
theta0
The starting value of the copula parameter
delta0
The starting value for the dispersion parameter of the Gamma distribution
x
n observations of the Gamma variable
y
n observations of the zero-truncated Poisson variable
R
n x p design matrix for the Gamma model
S
n x q design matrix for the zero-truncated Poisson model
family
an integer defining the bivariate copula family: 1 = Gauss, 3 = Clayton, 4=Gumbel, 5=Frank
exposure
exposure time for the zero-truncated Poisson model, all entries of the vector have to be $>0$. Default is a constant vector of 1.
sd.error
logical. Should the standard errors of the regression coefficients be returned? Default is FALSE.
zt
logical. If zt=TRUE, we use a zero-truncated Poisson variable. Otherwise, we use a Poisson variable. Default is TRUE.

Value

alpha
estimated coefficients for X, including the intercept
beta
estimated coefficients for Y, including the intercept
sd.alpha
estimated standard deviation (if sd.error=TRUE)
sd.beta
estimated standard deviation (if sd.error=TRUE)
sd.g.theta
estimated standard deviation of $g(\theta)$ (if sd.error=TRUE)
delta
estimated dispersion parameter
theta
estimated copula parameter
tau
estimated value of Kendall's tau
family
copula family
ll
loglikelihood of the estimated model, evaluated at each observation
loglik
overall loglikelihood, i.e. sum of ll

Details

This is an internal function called by copreg.

References

N. Kraemer, E. Brechmann, D. Silvestrini, C. Czado (2013): Total loss estimation using copula-based regression models. Insurance: Mathematics and Economics 53 (3), 829 - 839.

See Also

copreg, mle_marginal

Examples

Run this code
##---- This is an internal function called by copreg() ----

Run the code above in your browser using DataLab