search for: fitcopula

Hello! I am trying to fit a copula to some data in R and I get the error mentioned above. This is the code for a reproducible example - library(copula) data = matrix(data=runif(600),nrow=200,ncol=3) data[,2] = 2*data[,1] data[,3] = 3*data[,1] fr_cop = frankCopula(dim=3) fit_fr_cop = fitCopula(fr_cop,pobs(data),method = "mpl") #Error Here The error says : Error in fitCopula.ml(copula, u = data, method = method, start = start, : 'start' contains NA values What could be going wrong? [[alternative HTML version deleted]]

...t set the random seed, so the data is different every time; OTOH, yes, the following always gives an error) > library(copula) Slightly clearer showing what you are doing: x <- runif(200) data <- cbind(x, 2*x, 3*x) > fr_cop = frankCopula(dim=3) > fit_fr_cop = fitCopula(fr_cop, pobs(data), method = "mpl") #Error Here > The error says : Error in fitCopula.ml(copula, u = data, method = method, > start = start, : 'start' contains NA values > What could be going wrong? Is this a homework question? [probably not, but ..] The h...

...<- optim(c(1,5), fn = loglik.marg, x = dat[, 1], control = ctrl)$par   b2hat <- optim(c(1,5), fn = loglik.marg, x = dat[, 2], control = ctrl)$par   udat <- cbind(pgamma(dat[, 1], shape = b1hat[1], scale = b1hat[2]),pgamma(dat[, 2], shape = b2hat[1], scale = b2hat[2]))   > fit.ifl <- fitCopula(myCop.t, udat,  method="mpl", c(1,5,1,5,8),estimate.variance=TRUE) Error in fitCopula.ml(data, copula, start, lower, upper, optim.control,  :   The length of start and copula parameters do not match.   > fit.ifl <- fitCopula(udat, myMvd@copula, c(1,5,1,5,8)) Error in fitCopula(udat...

...optim(c(1,5), fn = loglik.marg, x = dat[, 1], control = ctrl)$par b2hat <- optim(c(1,5), fn = loglik.marg, x = dat[, 2], control = ctrl)$par udat <- cbind(pgamma(dat[, 1], shape = b1hat[1], scale = b1hat[2]),pgamma(dat[, 2], shape = b2hat[1], scale = b2hat[2])) > fit.ifl <- fitCopula(myCop.t, udat, method="mpl", c(1,5,1,5,8),estimate.variance=TRUE) Error in fitCopula.ml(data, copula, start, lower, upper, optim.control, : The length of start and copula parameters do not match. > fit.ifl <- fitCopula(udat, myMvd@copula, c(1,5,1,5,8)) Error in fitCopula(...

I am using R 2.5.0 on windows XP and trying to fit copula. I see the following code works for some users, however my code crashes on the chol. Any suggestions? > mycop <- tCopula(param=0.5, dim=8, dispstr="ex", df=5) > x <- rcopula(mycop, 1000) > myfit <- fitCopula(x, mycop, c(0.6, 10), optim.control=list(trace=1), method="Nelder-Mead") Nelder-Mead direct search function minimizer function value for initial parameters = -1747.582044 Scaled convergence tolerance is 2.6041e-05 Stepsize computed as 1.000000 Error in chol(x, pivot = FALSE) : t...

Is anybody using the Copula package in R? The particular problem I'm facing is that R is not acknowledging the fitCopula command/function when I load the package and (try to) run something very simple: fit1 <- fitCopula(x1 = list(u11,u12,u13,u14,u15,u16,u17,u18), tCopula, optim.control = list(NULL), method = "BFGS") Anybody also using it, successfully or unsuccessfully? I'd appreciate a tip or t...

-- Hello, I am attempting to fit monthly stock returns to possible copula functions using the copula package in R. Below is my code (mat2 is a 2x119 matrix of the two stock returns): my.cop <- normalCopula(param=.3, dim = 2, dispstr = "un") myfit <- fitCopula(mat2,my.cop, start=.65, optim.control= list(NULL), method = "BFGS") myfit Unfortunately, I continue to receive this error: Error in optim(start, loglikCopula, method = method, copula = copula, : initial value in 'vmmin' is not finite In addition: Warning message: NaNs p...

Hello R users, A beginners question which I could not find the answer to in earler posts. My thought process: Here "z" is a 119 x 15 data matrix Step 1: start at column one, bind every column with column 1 Step2: use the new matrix, "test", in the fitCopula package Step3: store each result in myfit, bind each result to "answer" Step4: return "answer" copula_est <- function(z) { for(i in 1:length(z[1,])) { my.cop <- normalCopula(param = 0.5, dim = 2) test <- cbind(z[,1],z[,i]) myfit[i] <- fitCopula(test,my.cop,...

...hat I do not manage to solve ! I will be very grateful if you can solve this ! I want to fit a t Copula with the copula package : > student.cop <- ellipCopula("t", param = c(0.5, 0.6, 0.7), dim = 3, dispstr = "un",df=5) > x<-rcopula(student.cop,1000) > fit <- fitCopula(x, student.cop, c(0.5,0.5,0.5,5)) And there is an error for the optimization. Thanks a lot if you respond to me ! Pierre. ___________________________________________________________________________ Découvrez une nouvelle façon d'obtenir des réponses à toutes vos questions ! Profit...

Hello everyone, Here is the setup. z is a 119 x 15 matrix, m_index is a 119 x 5 matrix What I am trying to do is return the results from fitCopula by sequentially binding all 15 columns of z to the first column of m_index, (cbind(z[,1],m_index[,1]),(cbind(z[,2],m_index[,1]), etc. Unfortunately, my code below only binds z[,1] and m_index[,1] and return the same result 14 times. Any ideas on how to implement my idea would be greatly appreciat...

I need to fit a t copula with fixed degree of freedom let's say 4. I do not want to estimate the dof together with correlation matrix optimally. Instead fix the dof to 4 and only estimate the correlation matrix in the optimization routine. Is anyone aware of such estimation method in R. The packages and functions that I know of can't do this estimation. I searched online but

...ata For Analysis (Kevin E. Thorpe) > 16. Re: Data consistency checks in functions (Kuhn, Max) > 17. Re: vectorize a function (Christos Hatzis) > 18. Re: extract index during execution of sapply (Ben Bolker) > 19. Re: extract index during execution of sapply (Thomas Lumley) > 20. fitCopula (Oden, Kevin) > 21. how to ave this? (Weiwei Shi) > 22. fitCopula (Oden, Kevin) > 23. Re: how to ave this? (Weiwei Shi) > 24. Re: Result depends on order of factors in unbalanced designs > (lme, anova)? (Prof Brian Ripley) > 25. Re: Tools For Preparing Data For Analysis...