Hi, I am trying to fit t copula to some data, and I am using the following
function in the library(QRMlib).
Udatac <- apply(datac, 2, edf,adjust=1)
tcopulac <- fit.tcopula.rank(Udatac)
But the error message come out "Error in fit.tcopula.rank(Udatac) : Non
p.s.d. covariance matrix"
Could anyone give me some advice? In fact, I am not sure what the
"adjust=1"
is used for.
Many thanks.
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