log_likelihood_Generalized {STCCGEV} | R Documentation |
Compute Log-Likelihood for a Generalized Dynamic Copula-GEV Model
Description
Computes the log-likelihood for a time-varying copula model combined with Generalized Extreme Value (GEV) margins.
Usage
log_likelihood_Generalized(params, U, Z, X, copula)
Arguments
params |
Numeric vector of model parameters, including copula parameters (omega, alpha, gamma) and GEV distribution parameters. |
U |
Numeric matrix (n_train x D), pseudo-observations for the copula. |
Z |
Numeric array (n_train x D x M), observed data for each margin and sub-feature. |
X |
Numeric matrix (n_train x M), risk factors for the dynamic copula parameter. |
copula |
Character, specifying the copula type: "Clayton", "Frank", "Gumbel", "Joe", or "Gaussian". |
Value
Numeric, negative log-likelihood value.
Examples
test_ll <- log_likelihood_Generalized(init_params_full_G,uu,
zz_train,xx_train,"Gaussian")
[Package STCCGEV version 1.0.0 Index]