R: Parametric bootstrap confidence interval for the parameter...
theta.bci
R Documentation
Parametric bootstrap confidence interval for the parameter theta for Liouville copula
Description
The parametric bootstrap provides confidence intervals by repeatedly sampling datasets from the postulated
Liouvilla copula model. If d=2 and the model is either gumbel or clayton, the value of
Kendall's tau is calculated from the sample, and the confidence interval or the quantiles correspond
to the inverse tau for the bootstrap quantile values of tau (using monotonicity).
family of the Liouville copula. Either "clayton", "gumbel", "frank", "AMH" or "joe"
alphavec
vector of Dirichlet allocations (must be a vector of integers)
n
sample size
theta.hat
estimate of theta
quant
if the vector of probability is specified, the function will return the corresponding bootstrap quantiles
silent
boolean for output progress. Default is FALSE, which means iterations are printed if d>2.
Details
Since no closed-form formulas exist for the other models or in higher dimension,
the method is extremely slow since it relies on maximization
of a new sample from the model and look up the corresponding parameters.
Value
a list with a 95
and the bootstrap values of Kendall's tau in boot_tau if d=2 and the model is either gumbel or clayton.
Otherwise, the list contains boot_theta.