Hi,
I have one set of observations containing two parameters.
How to fit it into copula (estimate the parameter of the copula and the
margin function)?
Let's say the margin distribution are log-normal distributions, and the
copula is Gumbel copula.
The data is as below:
1 974.0304 1010
2 6094.2672 1150
3 3103.2720 1490
4 1746.1872 1210
5 6683.7744 3060
6 6299.6832 3330
7 4784.0112 1550
8 1472.4288 607
9 3758.5728 1970
10 4381.2144 1350
11 5391.7056 2120
12 5353.3872 2560
13 3036.0960 2200
14 2016.9216 1190
15 2024.2224 670
16 2255.1264 970
17 2813.7024 1060
18 3889.5552 1290
19 2365.2950 2370
20 4471.6320 1450
21 2263.2048 1660
22 3047.9760 1170
23 2415.6144 2040
24 2249.5968 764
25 1379.7216 903
26 2743.3728 1140
27 2143.3680 1120
28 1396.9152 538
29 2385.5904 535
30 3966.5808 1720
31 3315.1680 1310
32 5822.1072 1660
33 2646.2160 1260
34 3592.9440 1050
35 6689.4336 1440
36 802.5264 785
37 1371.2544 595
38 1474.3728 390
39 1588.7232 731
40 5647.7952 1685
41 3832.0560 1245
42 2409.2208 1671
43 1978.6464 1073
44 6344.5248 1169
45 1654.9488 1380
46 3341.4336 2137
47 3563.0064 1543
48 4345.8336 825
49 1039.0464 572
50 727.4448 993
51 2271.0240 1360
52 5255.9712 1730
53 5972.0112 2150
54 2710.5840 1240
55 2314.3968 920
56 521.7264 572
57 3534.8832 1110
58 1471.4352 1010
59 2963.0448 1540
60 3431.1168 1320
61 2715.9408 1210
62 5161.7088 1260
63 2853.8352 870
64 4264.8336 1784
65 5605.5888 1720
66 3861.4752 1170
67 4537.5120 4290
68 4561.2720 2090
69 2652.7392 815
70 3610.1376 1670
71 6972.1776 2870
72 2654.4672 699
73 2982.0960 1020
74 3959.9280 1140
75 1224.2880 1370
76 2309.3860 2260
I have finished the univariate analysis for both parameter, estimated
the distribution fitted the "log-normal" distribution. And I install
the "copula" package, the function "fitCopula" required a
parameter
for the copula, I didn't quite understand, because this is the one
which I am going to estimate. Also, how to convert the distribution
(log-normal) to uniform marginal distribution for copula analysis?
ibrary(copula)
gumbel.cop <- gumbelCopula(dim=2)
myMvd <- mvdc(gumbel.cop, c("lnorm","lnorm"),
list(list(meanlog 7.1445391,sdlog=0.4568783), list(meanlog =
7.957392,sdlog=0.559831)))
x <- rmvdc(myMvd, 1000)
fit <- fitMvdc(x, myMvd, c(7.1445391,0.4568783,7.957392,0.559831))
the meanlog and sdlog value are derived from the data set. error message
"Error in if (alpha - 1 < .Machine$double.eps^(1/3)) return(rCopula(n, :
missing value where TRUE/FALSE needed "
How to choose the copula parameter with the given data, and the margin
distributions derived from the data set?
Thank you very much for your help.
best regards,
Yang Yang
GFZ-Potsdam
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