我现在在学习使用matlab做copula,尝试用mle求参数,程序如下
UV=[U,V];
pdffun=@(UV,alpha)(exp(-((-log(UV(:,1))).^(1/alpha)+(-log(UV(:,2))).^(1/alpha)).^alpha)).*(log(UV(:,1)).*log(UV(:,2))).^(1/alpha-1)/...
((UV(:,1).*UV(:,2).*((-log(UV(:,1))).^(1/alpha)+(-log(UV(:,2))).^(1/alpha))).^(2-alpha)).*...
(((-log(UV(:,1))).^(1/alpha)+(-log(UV(:,2))).^(1/alpha)).^alpha+1/alpha-1);
pdffun = @(uv,alpha)(-1+alpha^2*(uv(:,1)+uv(:,2)-u(:,1).*uv(:,2)-1)-alpha*(uv(:,1)+uv(:,2)+uv(:,1).*uv(:,2)-2))./(-1+alpha*(uv(:,1)-1).*(uv(:,2)-1)).^3
[phat,pci] = mle(UV,'pdf',pdffun,'start',1,'lowerbound',-inf,'upperbound',inf);
做的是gumbel copula。UV两个变量
但是问题出现在mle要求变量是向量,请问大家如何对多变量求解呢?
谢谢!!