STCCGEV (version 1.0.0)

log_likelihood_noGEV: Compute Log-Likelihood for a Generalized Dynamic Copula Model without GEV covariates

Description

Computes the log-likelihood for a time-varying copula model.

Usage

log_likelihood_noGEV(params, U, Z, X, copula)

Value

Numeric, negative log-likelihood value.

Arguments

params

Numeric vector of model parameters, including copula parameters (omega, alpha, gamma).

U

Numeric matrix (n_train x D), pseudo-observations for the copula.

Z

Numeric array (n_train x D x M), observed data for each margin and sub-feature.

X

Numeric matrix (n_train x M), risk factors for the dynamic copula parameter.

copula

Character, specifying the copula type: "Clayton", "Frank", "Gumbel", "Joe", or "Gaussian".

Examples

test_ll_noGEV <- log_likelihood_noGEV(init_params_noGEV,uu,
                      zz_train,x_train,"Gaussian")