XploRe Help : mnllike

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	VaR
See also:	copulalike clayton frank AMH FGM gumbel gumbelII galambos

Quantlet:		mnllike
Description:		determines the maximum of the log-likelihood function for a given copula.

Usage:	`{tm, mL, AIC, BIC} = mnllike(u,nrcop,lower,upper)`
Input:
	`u`	n x 2 matrix, data
	`nrcop`	scalar, integer between 1 and 7, selects the copula, 1 - Clayton copula 2 - Frank copula 3 - Ali-Mikhail-Haq copula 4 - Farlie-Gumbel-Morgenstern copula 5 - Gumbel Extreme Value Copula 6 - Gumbel II Extreme Value Copula 7 - Galambos Extreme Value Copula
	`lower`	scalar, lower bound of parameter theta
	`upper`	scalar, upper bound of parameter theta
Output:
	`tm`	scalar, estimation of parameter theta from the given copula
	`mL`	scalar, value of maximum likelihood function
	`AIC`	scalar, value of Akaike Information Criterion, AIC
	`BIC`	scalar, value of Schwarz Information Criterion, BIC

Example:

library("VaR") g=read("multidata2.dat") x=g[,1:2] result=mnllike(x,1,0.01,0.02) result

Result:

Maximum likelihood estimation of parameter theta from the given
copula, likelihood value and model selection
criteria:

Contents of result.tm
[1,]     0.02
Contents of result.mL
[1,]   139.56
Contents of result.AIC
[1,]  -277.11
Contents of result.BIC
[1,]  -272.03

Author: K.Jajuga, D.Papla, 20031101 license MD*Tech