R help - Jun 2010 - error message in fitting tcopula

Hi r-users,

 

I really need help in fitting the t-copula.  I try to reproduce the
example given by Jun Yan in "Enjoy the joy of copula" but I'm not
sure
how to correct the error based on the error message.  I tried so many
ways but still could not get it working.

 

loglik.marg <- function(b, x) sum(dgamma(x, shape = b[1], scale = b[2],
log = TRUE))

 

ctrl <- list(fnscale = -1)

 

#dat <- stn_pos[,1:2] ## observed data

myCop.t <- ellipCopula(family = "t", param = 0.5,dim = 2, dispstr
"un", df = 8)

myCop.t

 

myMvd <- mvdc(copula = myCop.t, margins = c("gamma",
"gamma"),
paramMargins = list(list(shape = 1.5, scale = 38), 

list(shape = 1.7, scale = 50)))

myMvd

n <- 200

dat <- rmvdc(myMvd, n)

 

mm <- apply(dat, 2, mean)

vv <- apply(dat, 2, var)

rho <- rcorr(dat,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)

 

b1hat <- 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, myMvd@copula, c(1, 5, 1, 5, 8)) : 

  Implemented methods are: ml, mpl, itau, and irho.

In addition: Warning messages:

1: In if (method == "ml") fit <- fitCopula.ml(data, copula, start, 
:

  the condition has length > 1 and only the first element will be used

2: In if (method == "mpl") fit <- fitCopula.mpl(copula, data,
start,  :

  the condition has length > 1 and only the first element will be used

3: In if (method == "itau") fit <- fitCopula.itau(copula, data,
estimate.variance) else if (method ==  :

  the condition has length > 1 and only the first element will be used

4: In if (method == "irho") fit <- fitCopula.irho(copula, data,
estimate.variance) else stop("Implemented methods are: ml, mpl, itau,
and irho.") :

  the condition has length > 1 and only the first element will be used

 
> fit.ifl <- fitCopula(udat, myMvd@copula, a.0)  ## this given the paper
Error in fitCopula(udat, myMvd@copula, a.0) : 

  Implemented methods are: ml, mpl, itau, and irho.

 

Thank you so much for your help.

 

 

 

Regards,

 

Roslinazairimah Zakaria

PhD Student

School of Maths & Stats

University of South Australia

Mawson Lakes, SA 5095.

Ph: 83025296

 


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