fgm {VGAM} | R Documentation |
Estimate the association parameter of Farlie-Gumbel-Morgenstern's bivariate distribution using maximum likelihood estimation.
fgm(lapar="identity", earg=list(), iapar=NULL, method.init=1)
lapar |
Link function applied to the association parameter
alpha, which is real.
See Links for more choices.
|
earg |
List. Extra argument for the link.
See earg in Links for general information.
|
iapar |
Numeric. Optional initial value for alpha.
By default, an initial value is chosen internally.
If a convergence failure occurs try assigning a different value.
Assigning a value will override the argument method.init .
|
method.init |
An integer with value 1 or 2 which
specifies the initialization method. If failure to converge occurs
try the other value, or else specify a value for ia .
|
The cumulative distribution function is
P(Y1 <= y1, Y2 <= y2) = y1 * y2 * ( 1 + alpha * (1 - y1) * (1 - y2) )
for real alpha (the range is data-dependent). The support of the function is the unit square. The marginal distributions are the standard uniform distributions. When alpha=0 then the random variables are independent.
A variant of Newton-Raphson is used, which only seems to work for an
intercept model.
It is a very good idea to set trace=TRUE
.
This VGAM family function is prone to numerical difficulties.
An object of class "vglmff"
(see vglmff-class
).
The object is used by modelling functions such as vglm
and vgam
.
The response must be a two-column matrix. Currently, the fitted value is a matrix with two columns and values equal to 0.5. This is because each marginal distribution corresponds to a standard uniform distribution.
T. W. Yee
Castillo, E., Hadi, A. S., Balakrishnan, N. Sarabia, J. S. (2005) Extreme Value and Related Models with Applications in Engineering and Science, Hoboken, N.J.: Wiley-Interscience.
n = 1000 ymat = cbind(runif(n), runif(n)) ## Not run: plot(ymat) fit = vglm(ymat ~ 1, fam=fgm, trace=TRUE) fit = vglm(ymat ~ 1, fam=fgm, trace=TRUE, crit="coef") coef(fit, matrix=TRUE) Coef(fit) fitted(fit)[1:5,]