R: Clayton Copula (Bivariate) Family Function

biclaytoncop {VGAM} | R Documentation

## Clayton Copula (Bivariate) Family Function

### Description

Estimate the correlation parameter of the (bivariate) Clayton copula distribution by maximum likelihood estimation.

### Usage

    biclaytoncop(lapar = "loglink", iapar = NULL, imethod = 1,
                 parallel = FALSE, zero = NULL)

### Arguments

`lapar, iapar, imethod` | Details at `CommonVGAMffArguments`. See `Links` for more link function choices.
`parallel, zero` | Details at `CommonVGAMffArguments`. If `parallel = TRUE` then the constraint is also applied to the intercept.

### Details

The cumulative distribution function is

P(u1,u2,alpha) = (u1^(-alpha) + u2^(-alpha)-1)^(-1/alpha)

for 0 <= alpha. Here, alpha is the association parameter. The support of the function is the interior of the unit square; however, values of 0 and/or 1 are not allowed (currently). The marginal distributions are the standard uniform distributions. When alpha=0 the random variables are independent.

This VGAM family function can handle multiple responses, for example, a six-column matrix where the first 2 columns is the first out of three responses, the next 2 columns being the next response, etc.

### Value

An object of class `"vglmff"` (see `vglmff-class`). The object is used by modelling functions such as `vglm` and `vgam`.

### Note

The response matrix must have a multiple of two-columns. Currently, the fitted value is a matrix with the same number of columns and values equal to 0.5. This is because each marginal distribution corresponds to a standard uniform distribution.

This VGAM family function is fragile; each response must be in the interior of the unit square.

### Author(s)

R. Feyter and T. W. Yee

### References

Clayton, D. (1982). A model for association in bivariate survival data. Journal of the Royal Statistical Society, Series B, Methodological, 44, 414–422.

Stober, J. and Schepsmeier, U. (2013). Derivatives and Fisher information of bivariate copulas. Statistical Papers.

### See Also

`rbiclaytoncop`, `dbiclaytoncop`, `kendall.tau`.

### Examples

    ymat <- rbiclaytoncop(n = (nn <- 1000), apar = exp(2))
    bdata <- data.frame(y1 = ymat[, 1],
                        y2 = ymat[, 2],
                        y3 = ymat[, 1],
                        y4 = ymat[, 2],
                        x2 = runif(nn))

    summary(bdata)
    ## Not run:  plot(ymat, col = "blue")
    fit1 <- vglm(cbind(y1, y2, y3, y4) ~ 1,  # 2 responses, e.g., (y1,y2) is the first
                 biclaytoncop, data = bdata,
                 trace = TRUE, crit = "coef")  # Sometimes a good idea

    coef(fit1, matrix = TRUE)
    Coef(fit1)
    head(fitted(fit1))
    summary(fit1)

    # Another example; apar is a function of x2
    bdata <- transform(bdata, apar = exp(-0.5 + x2))
    ymat <- rbiclaytoncop(n = nn, apar = with(bdata, apar))
    bdata <- transform(bdata, y5 = ymat[, 1],
                              y6 = ymat[, 2])
    fit2 <- vgam(cbind(y5, y6) ~ s(x2), data = bdata,
                 biclaytoncop(lapar = "loglink"), trace = TRUE)
    ## Not run:  plot(fit2, lcol = "blue", scol = "orange", se = TRUE, las = 1)

[Package VGAM version 1.1-3 Index]