Computes the weighted copula negative log-likelihood
Usage
copula_nll(
params,
z_matrix,
weights,
Qbar,
copula_dist = "mvn",
use_reparam = TRUE
)
Arguments
- params
Parameter vector (psi, phi) or (psi, phi, shape)
- z_matrix
Matrix of copula residuals (T x k)
- weights
Observation weights
- Qbar
Unconditional covariance matrix
- copula_dist
Copula distribution ("mvn" or "mvt")
- use_reparam
Logical; if TRUE, params are in reparameterized space
Value
Scalar negative log-likelihood
