Clayton.MixNormal.Markov.MLE {Copula.Markov} | R Documentation |
The maximum likelihood estimates are produced. The dependence model follows the Clayton copula and the marginal distribution follows the Mix-Normal distribution.
Clayton.MixNormal.Markov.MLE(y)
y |
vector of datasets |
alpha |
estimate, SE, and 95 percent CI |
mu1 |
estimate, SE, and 95 percent CI |
mu2 |
estimate, SE, and 95 percent CI |
sigma1 |
estimate, SE, and 95 percent CI |
sigma2 |
estimate, SE, and 95 percent CI |
p |
estimate, SE, and 95 percent CI |
Gradient |
gradients (must be zero) |
Hessian |
Hessian matrix |
Eigenvalue_Hessian |
Eigenvalues for the Hessian matrix |
log.likelihood |
Log-likelihood value for the estimation |
Sun LH, Huang XW
Lin WC, Emura T, Sun LH (2021), Estimation under copula-based Markov normal mixture models for serially correlated data, Communications in Statistics - Simulation and Computation, 50(12):4483-515
data(DowJones)
Y=as.vector(DowJones$log_return)
Clayton.MixNormal.Markov.MLE(y=Y)