fixParam {copula}R Documentation

Fix a Subset of a Copula Parameter Vector

Description

It is sometimes useful to keep fixed some components of a copula parameter vector whereas the others are “free” and will be estimated, e.g., by fitCopula.

Usage

fixParam(param, fixed = TRUE)
fixedParam(copula) <- value

Arguments

param

numeric parameter vector

fixed, value

logical vector of the same length as param indicating for each component param[j] if it is (going to be) fixed or not.

copula

a "copula" object.

Value

fixParam(param) returns a numeric vector with attribute "fixed"(a logical, either TRUE or vector of the same length as param) to indicate which components of param are to be held fixed or not.

fixedParam<-, a generic function, returns a "copula" object with a partly fixed parameter (slot), i.e., corresponding to fixParam() above.

See Also

fitCopula for fitting; t-copulas, tCopula(*, df.fixed=TRUE) now uses parameter fixing for "df".

setTheta() for setting or changing the non-fixed parameter values.

Examples

nc1 <- normalCopula(dim = 3, fixParam(c(.6,.3,.2), c(TRUE, FALSE,FALSE)),
                    dispstr = "un")
nc1
nc13 <- nc12 <- nc1
fixedParam(nc12) <- c(TRUE, TRUE, FALSE) ; nc12
fixedParam(nc13) <- c(TRUE, FALSE, TRUE) ; nc13
set.seed(17); x <- rCopula(100, nc1)
summary(f.13 <- fitCopula(nc13, x, method = "ml"))
f.13@copula  # 'rho.2' is estimated; the others kept fixed

## Setting to 'FALSE' (removes the "fixed" parts completely):
nc0 <- nc13; fixedParam(nc0) <- FALSE
nc0
stopifnot(is.null(attributes(nc0@parameters)))

[Package copula version 0.999-16 Index]