Hi r-users,
I try to fit the t copula using the gamma marginals. But I got error message
which I don't really understand.
Thank you for any help given.
myCop.t <- ellipCopula(family = "t", dim = 2, dispstr =
"toep", param = 0.5, df = 8)
myCop.t
myMvd <- mvdc(copula = myCop.t, margins = c("gamma",
"gamma"), paramMargins = list(list(mean = 0, sd = 2), list(mean = 0,
sd = 1)))
myMvd
dat <- stn_pos ## observed data
loglikMvdc(c(0, 2, 0, 1, 0.5,8), dat, myMvd) ## loglikelihood
mm <- apply(dat, 2, mean)
vv <- apply(dat, 2, var)
rho <- rcorr(stn_pos,type="spearman")[[1]]; round(rho,2)
rbind(mm,vv)
b1.0 <- c(mm[1]^2/vv[1], vv[1]/mm[1])
b2.0 <- c(mm[2]^2/vv[2], vv[2]/mm[2])
a.0 <- sin(cor(dat[, 1], dat[, 2], method = "kendall") * pi/2)
start <- c(b1.0, b2.0, a.0)
fit <- fitMvdc(dat, myMvd, start = start,optim.control = list(trace = TRUE,
maxit = 2000))
fit
#################
> head(dat);tail(dat)
[,1] [,2]
[1,] 28.4 43.5
[2,] 9.2 7.4
[3,] 48.8 68.9
[4,] 185.2 115.7
[5,] 4.1 11.7
[6,] 67.6 29.8
[,1] [,2]
[946,] 8.8 17.2
[947,] 119.6 164.0
[948,] 68.4 163.6
[949,] 45.8 61.6
[950,] 77.0 101.0
[951,] 56.6 74.8
> myCop.t <- ellipCopula(family = "t", dim = 2, dispstr =
"toep", param = 0.5, df = 8)
> myCop.t
t copula family
Dimension: 2
Parameters:
rho.1 = 0.5
df = 8 > myMvd <- mvdc(copula = myCop.t, margins = c("gamma",
"gamma"), paramMargins = list(list(mean = 0, sd = 2), list(mean = 0,
sd = 1)))
> myMvd
An object of class “mvdc”
Slot "copula":
t copula family
Dimension: 2
Parameters:
rho.1 = 0.5
df = 8
Slot "margins":
[1] "gamma" "gamma"
Slot "paramMargins":
[[1]]
[[1]]$mean
[1] 0
[[1]]$sd
[1] 2
[[2]]
[[2]]$mean
[1] 0
[[2]]$sd
[1] 1
Slot "marginsIdentical":
[1] FALSE
> dat <- stn_pos ## observed data
> loglikMvdc(c(0, 2, 0, 1, 0.5,8), dat, myMvd) ## loglikelihood
Error in pgamma(x, mean = 0, sd = 2) :
unused argument(s) (mean = 0, sd = 2)
[1] NaN> mm <- apply(dat, 2, mean)
> vv <- apply(dat, 2, var)
> rho <- rcorr(stn_pos,type="spearman")[[1]]; round(rho,2)
[,1] [,2]
[1,] 1.0 0.9
[2,] 0.9 1.0> rbind(mm,vv)
[,1] [,2]
mm 58.63912 83.7224
vv 1789.51116 3315.2367> b1.0 <- c(mm[1]^2/vv[1], vv[1]/mm[1])
> b2.0 <- c(mm[2]^2/vv[2], vv[2]/mm[2])
> a.0 <- sin(cor(dat[, 1], dat[, 2], method = "kendall") *
pi/2)
> start <- c(b1.0, b2.0, a.0)
> fit <- fitMvdc(dat, myMvd, start = start,optim.control = list(trace =
TRUE, maxit = 2000))
Error in fitMvdc(dat, myMvd, start = start, optim.control = list(trace = TRUE,
:
The length of start and mvdc parameters do not match.>
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