[R] Using copulas with user-defined marginal functions
David Winsemius
dwinsemius at comcast.net
Mon Apr 22 04:07:35 CEST 2013
Readers of this list should have been advised that this question has also been posted to StackOverflow:
(And the unnamed package from which dMvdc is assumed to be coming from is 'copula'.)
--
David
On Apr 21, 2013, at 4:12 PM, Elisa Taveras Pena wrote:
> I am trying to make a loglikelihood function using copulas. I am trying to
> use mvdc to find the density function. When I run this I got the error that
> the pdf and cdf of my function tobit doesn't exist. Can somebody guide me
> where my mistake is?
>
> 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) : could not find function "ptobit"
>
>
> Thanks in advance,
>
>
> Elisa.
>
> [[alternative HTML version deleted]]
>
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David Winsemius
Alameda, CA, USA
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