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Surrogate (version 3.3.3)

fit_copula_submodel_ContCont: Fit ordinal-continuous copula submodel

Description

The fit_copula_submodel_ContCont() function fits the copula (sub)model for a continuous surrogate and true endpoint with maximum likelihood.

Usage

fit_copula_submodel_ContCont(
  X,
  Y,
  copula_family,
  marginal_X,
  marginal_Y,
  start_X,
  start_Y,
  start_copula,
  method = "BFGS",
  names_XY = c("Surr", "True"),
  twostep = FALSE,
  copula_transform = function(x) x,
  ...
)

Value

A list with five elements:

  • ml_fit: object of class maxLik::maxLik that contains the estimated copula model.

  • marginal_X: list with the estimated cdf, pdf/pmf, and inverse cdf for X.

  • marginal_Y: list with the estimated cdf, pdf/pmf, and inverse cdf for X.

  • copula_family: string that indicates the copula family

  • data: data frame containing X and Y

  • names_XY: The names (i.e., "Surr" and "True") for X and Y

Arguments

X

First variable (Continuous)

Y

Second variable (Continuous)

copula_family

Copula family, one of the following:

  • "clayton"

  • "frank"

  • "gumbel"

  • "gaussian"

marginal_X, marginal_Y

List with the following three elements (in order):

  • Density function with first argument x and second argument para the parameter vector for this distribution.

  • Distribution function with first argument x and second argument para the parameter vector for this distribution.

  • Inverse distribution function with first argument p and second argument para the parameter vector for this distribution.

  • The number of elements in para.

  • A vector of starting values for para.

start_X, start_Y

Starting values corresponding to marginal_X and marginal_Y.

start_copula

Starting value for the copula parameter.

method

Optimization algorithm for maximizing the objective function. For all options, see ?maxLik::maxLik. Defaults to "BFGS".

names_XY

Names for X and Y, respectively.

twostep

(boolean) If TRUE, the starting values are fixed for the marginal distributions and only the copula parameter is estimated.

copula_transform

Used for reparameterizing the copula parameter. copula_transform() backtransforms the transformed copula parameter to the original scale. Note that start_copula should be specified on the transformed scale.

...

Extra argument to pass onto maxLik::maxLik

See Also

continuous_continuous_loglik()