log_likelihood_generalized_2d {STCCGEV} | R Documentation |
Generalized Log-Likelihood Function for 2D Copula-GEV Model
Description
Computes the negative log-likelihood of a 2-dimensional copula-GEV model, incorporating dynamic Generalized Extreme Value (GEV) parameters and a time-varying copula structure.
Usage
log_likelihood_generalized_2d(params, u1, u2, X_t, z1, z2, copula)
Arguments
params |
Numeric vector, model parameters including copula and GEV parameters. |
u1 |
Numeric vector (length |
u2 |
Numeric vector (length |
X_t |
Numeric matrix ( |
z1 |
Numeric matrix ( |
z2 |
Numeric matrix ( |
copula |
Character, specifying the copula type: "Clayton", "Frank", "Gumbel", "Joe", or "Gaussian". |
Value
The negative log-likelihood value for optimization.
Examples
test_ll_2d <-log_likelihood_generalized_2d(init_params_full,
uu[,1],
uu[,2],
xx_train,
zz_train[,1,],
zz_train[,2,],
"Gaussian")
[Package STCCGEV version 1.0.0 Index]