rasti matus
2008-Nov-10 10:41 UTC
[R] Copula package: How to calculate correlation matrix using 144 variables to denote parameters for normal copula?
Dears, I calculated correlation matrix using 144 variables with a given function: cor_flows_vec=cor() Then I defined a normal copula with the above correlation matrix myCop=normalCopula(param=cor_flows_vec, dim = 144, dispstr = "un") Then I created a multivariate distribution with our defined copula while the univariete functions were fitted by GEV distribution using fExtremes package library(fExtremes) paramMargin=function(d){ n=length(d[1,]) param=c(1:n) for (i in seq(1:n)){ param[i]= list(list(xi=d[1,i], mu=d[2,i], beta=d[3,i])) } return(param) } paramMargins=paramMargin(d) myMvd <- mvdc(copula=myCop, margins=c(rep("gev",144)),paramMargins=paramMargins) The problem occures when I am trying to sample from the mvdc regarding correlation matrix. rmvdc(myMvd, 3) Cam anyone help? Thanks [[alternative HTML version deleted]]