Dear Dr. Martin,
I'm glad that you replied to my queries.
As advised, I have prepared the following:
library(copula)
# 5 series of data, A, B, C, D and E
A <- c(0.849420849, 0.900652985, 0.97144217, 0.817888428, 0.877901578,
1.070040669, 0.889742431, 0.87588968, 0.853541938, 0.848664688,
0.876830319, 0.749582638, 0.818515498, 0.890997174, 0.794766966,
0.784794851, 0.814858959, 1.074396518, 0.83752495, 0.894341116,
0.880375293, 0.900816803)
B <- c(0.479850746, 0.652111668, 1.880607815, 0.579902303, 0.50669344,
0.747560182, 0.701754386, 0.48969697, 0.346751006, 0.379234973,
0.862691466, 0.328280188, 0.317312661, 0.534438115, 0.487002653,
0.335043612, 0.373346897, 0.627520161, 0.792114695, 0.938253012,
0.444553967, 0.625972763)
C <- c(0.693491124, 0.866523143, 4.585714286, 1.512055109, 0.387755102,
0.513435701, 0.76252505, -0.113113113, 0.338521401, 0.333951763,
0.668755595, 0.401273885, 0.419868791, 0.272885789, 0.541541542,
0.32751938, 0.386409736, 0.957446809, 0.861195542, 1.531632653,
0.431610942, 1.226470588)
D <- c(0.807792208, 0.548547718, 0.738232865, 0.542247744, 1.088964927,
0.862385321, 0.60720268, 1.000816993, 0.699289661, 0.41723356,
0.604037267, 0.605003791, 0.698940998, 0.764792899, 0.647897898,
0.825256975, 0.767476085, 0.941391941, 0.889547813, 0.324503311,
0.942435424, 0.740686633)
E <- c(1.077598829, 0.318507891, 1.152616279, 0.930397727, 1.515994437,
0.940689655, 0.880886427, 1.054274084, 1.067282322, 0.677419355,
0.966233766, 0.761029412, 1.05734767, 0.615925059, 1.061988304,
1.07184241, 1.058890147, 1.123873874, 1.304891923, -0.069584736,
1.172757475, 0.501096491)
gumbel.copula <- gumbelCopula(dim = 2)
p <- pobs(as.matrix(cbind(D + E, A + B+ C )))
fit.gumbel <- fitCopula(gumbel.copula, p, method = "ml") #The error
is here
when trying to fit the gumbel copula
# I got the following error:
Error in optim(start, loglikCopula, lower = lower, upper = upper, method method,
:
non-finite finite-difference value [1]
In addition: Warning message:
In .local(copula, tau, ...) : tau is out of the range [0, 1]
#Due to error in fitting the gumbel copula, this step can't be processed
coef(fit.gumbel)
gofCopula(gumbel.Copula, p, estim.method = "mpl", method =
"Sn", simulation
= "mult")
Thanks in advance!
Best regards,
Isaudin
On Wed, Aug 10, 2016 at 5:08 PM, Martin Maechler <maechler at
stat.math.ethz.ch> wrote:
> >>>>> Isaudin Ismail <isaudin at gmail.com>
> >>>>> on Tue, 9 Aug 2016 14:30:18 +0100 writes:
>
> > Dear R experts,
> > I have 5 time series of data (A, B, C, D and E) with all same
> lengths. All
> > series exhibit gamma distribution except for B which is lognormal
> > distribution. I am using copula package to model the
> joint-distribution of
> > these 5 times series.
>
> > I have selected Archimedean copula and successfully fitted Frank
and
> > Clayton copula. The problem is when trying to fit Gumbel copula.
>
> > The following are the codes I used to run in R.
>
> > # Data of 5 time series
>
> > A <- A
> > B <- B
> > C <- C
> > D <- D
> > E <- E
>
> well, the above is really an "interesting" block of R code ;-)
>
> --
>
> More seriously, please learn to use reproducible examples,
> e.g., from here
> http://bit.ly/MRE_R (nice to remember: MRE = Minimal Reproducible
> Example)
> or here
> http://adv-r.had.co.nz/Reproducibility.html
>
> then we will be glad to help you,
> notably I as maintainer of the package 'copula' which you are
> using (without saying so).
>
> With regards,
> Martin Maechler
>
>
> > # Combined between A and C
> > A+C <- A + C
>
> > gumbel.copula <- gumbelCopula(dim = 5)
> > m <- pobs(as.matrix(cbind(A+C, B, D, E)))
> > fit.gumbel<- fitCopula(gumbel.copula, m, method = 'ml')
>
> > And the error while trying to fit gumbel copula:
>
> > Error in optim(start, loglikCopula, lower = lower, upper = upper,
> method > > method, :
> > non-finite finite-difference value [1]
> > In addition: Warning message:
> > In .local(copula, tau, ...) : tau is out of the range [0, 1]
>
> > Appreciate all help!
>
> > Many thanks,
> > Isaudin
>
> > [[alternative HTML version deleted]]
>
> > ______________________________________________
> > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more,
see
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/
> posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
[[alternative HTML version deleted]]
Dear Martin, Following my earlier question on "error while fitting gumbel copula", I have also crated a new gist at https://gist.github.com/anonymous/ 0bb8aba7adee550d40b840a47d8b7e25 for easy checking and copying codes. I got no problem fitting other Archimedean copulas except gumbel copula as per my code I used above. Appreciate your kind help. Many thanks, Isaudin On Mon, Aug 15, 2016 at 4:28 PM, Isaudin Ismail <isaudin at gmail.com> wrote:> Dear Dr. Martin, > > I'm glad that you replied to my queries. > > As advised, I have prepared the following: > > library(copula) > > > > # 5 series of data, A, B, C, D and E > A <- c(0.849420849, 0.900652985, 0.97144217, 0.817888428, 0.877901578, > 1.070040669, 0.889742431, 0.87588968, 0.853541938, 0.848664688, > 0.876830319, 0.749582638, 0.818515498, 0.890997174, 0.794766966, > 0.784794851, 0.814858959, 1.074396518, 0.83752495, 0.894341116, > 0.880375293, 0.900816803) > > B <- c(0.479850746, 0.652111668, 1.880607815, 0.579902303, 0.50669344, > 0.747560182, 0.701754386, 0.48969697, 0.346751006, 0.379234973, > 0.862691466, 0.328280188, 0.317312661, 0.534438115, 0.487002653, > 0.335043612, 0.373346897, 0.627520161, 0.792114695, 0.938253012, > 0.444553967, 0.625972763) > > C <- c(0.693491124, 0.866523143, 4.585714286, 1.512055109, 0.387755102, > 0.513435701, 0.76252505, -0.113113113, 0.338521401, 0.333951763, > 0.668755595, 0.401273885, 0.419868791, 0.272885789, 0.541541542, > 0.32751938, 0.386409736, 0.957446809, 0.861195542, 1.531632653, > 0.431610942, 1.226470588) > > D <- c(0.807792208, 0.548547718, 0.738232865, 0.542247744, 1.088964927, > 0.862385321, 0.60720268, 1.000816993, 0.699289661, 0.41723356, > 0.604037267, 0.605003791, 0.698940998, 0.764792899, 0.647897898, > 0.825256975, 0.767476085, 0.941391941, 0.889547813, 0.324503311, > 0.942435424, 0.740686633) > > E <- c(1.077598829, 0.318507891, 1.152616279, 0.930397727, 1.515994437, > 0.940689655, 0.880886427, 1.054274084, 1.067282322, 0.677419355, > 0.966233766, 0.761029412, 1.05734767, 0.615925059, 1.061988304, > 1.07184241, 1.058890147, 1.123873874, 1.304891923, -0.069584736, > 1.172757475, 0.501096491) > > gumbel.copula <- gumbelCopula(dim = 2) > p <- pobs(as.matrix(cbind(D + E, A + B+ C ))) > > fit.gumbel <- fitCopula(gumbel.copula, p, method = "ml") #The error is > here when trying to fit the gumbel copula > > # I got the following error: > Error in optim(start, loglikCopula, lower = lower, upper = upper, method > method, : > non-finite finite-difference value [1] > In addition: Warning message: > In .local(copula, tau, ...) : tau is out of the range [0, 1] > > #Due to error in fitting the gumbel copula, this step can't be processed > > coef(fit.gumbel) > gofCopula(gumbel.Copula, p, estim.method = "mpl", method = "Sn", > simulation = "mult") > > > Thanks in advance! > > Best regards, > Isaudin > > On Wed, Aug 10, 2016 at 5:08 PM, Martin Maechler < > maechler at stat.math.ethz.ch> wrote: > >> >>>>> Isaudin Ismail <isaudin at gmail.com> >> >>>>> on Tue, 9 Aug 2016 14:30:18 +0100 writes: >> >> > Dear R experts, >> > I have 5 time series of data (A, B, C, D and E) with all same >> lengths. All >> > series exhibit gamma distribution except for B which is lognormal >> > distribution. I am using copula package to model the >> joint-distribution of >> > these 5 times series. >> >> > I have selected Archimedean copula and successfully fitted Frank >> and >> > Clayton copula. The problem is when trying to fit Gumbel copula. >> >> > The following are the codes I used to run in R. >> >> > # Data of 5 time series >> >> > A <- A >> > B <- B >> > C <- C >> > D <- D >> > E <- E >> >> well, the above is really an "interesting" block of R code ;-) >> >> -- >> >> More seriously, please learn to use reproducible examples, >> e.g., from here >> http://bit.ly/MRE_R (nice to remember: MRE = Minimal Reproducible >> Example) >> or here >> http://adv-r.had.co.nz/Reproducibility.html >> >> then we will be glad to help you, >> notably I as maintainer of the package 'copula' which you are >> using (without saying so). >> >> With regards, >> Martin Maechler >> >> >> > # Combined between A and C >> > A+C <- A + C >> >> > gumbel.copula <- gumbelCopula(dim = 5) >> > m <- pobs(as.matrix(cbind(A+C, B, D, E))) >> > fit.gumbel<- fitCopula(gumbel.copula, m, method = 'ml') >> >> > And the error while trying to fit gumbel copula: >> >> > Error in optim(start, loglikCopula, lower = lower, upper = upper, >> method >> > method, : >> > non-finite finite-difference value [1] >> > In addition: Warning message: >> > In .local(copula, tau, ...) : tau is out of the range [0, 1] >> >> > Appreciate all help! >> >> > Many thanks, >> > Isaudin >> >> > [[alternative HTML version deleted]] >> >> > ______________________________________________ >> > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see >> > https://stat.ethz.ch/mailman/listinfo/r-help >> > PLEASE do read the posting guide http://www.R-project.org/posti >> ng-guide.html >> > and provide commented, minimal, self-contained, reproducible code. >> > >[[alternative HTML version deleted]]
>>>>> Isaudin Ismail <isaudin at gmail.com> >>>>> on Thu, 18 Aug 2016 17:03:50 +0100 writes:> Dear Martin, Following my earlier question on "error while > fitting gumbel copula", I have also crated a new gist at > https://gist.github.com/anonymous/0bb8aba7adee550d40b840a47d8b7e25 > for easy checking and copying codes. > I got no problem fitting other Archimedean copulas except > gumbel copula as per my code I used above. > Appreciate your kind help. > Many thanks, Isaudin > On Mon, Aug 15, 2016 at 4:28 PM, Isaudin Ismail > <isaudin at gmail.com> wrote: >> Dear Dr. Martin, >> >> I'm glad that you replied to my queries. >> >> As advised, I have prepared the following: MM: I'm including (cut'n'pasting) my commented and augmented version here: ------------------------------------------------------------------ ## From: Isaudin Ismail <isaudin at gmail.com> ## To: Martin Maechler <maechler at stat.math.ethz.ch> ## CC: <r-help at r-project.org> ## Subject: Re: [R] Error while fitting gumbel copula ## Date: Mon, 15 Aug 2016 16:28:14 +0100 ## Dear Dr. Martin, ## I'm glad that you replied to my queries. ## As advised, I have prepared the following: library(copula) ## 5 series of data, A, B, C, D and E A <- c(0.849420849, 0.900652985, 0.97144217, 0.817888428, 0.877901578, 1.070040669, 0.889742431, 0.87588968, 0.853541938, 0.848664688, 0.876830319, 0.749582638, 0.818515498, 0.890997174, 0.794766966, 0.784794851, 0.814858959, 1.074396518, 0.83752495, 0.894341116, 0.880375293, 0.900816803) B <- c(0.479850746, 0.652111668, 1.880607815, 0.579902303, 0.50669344, 0.747560182, 0.701754386, 0.48969697, 0.346751006, 0.379234973, 0.862691466, 0.328280188, 0.317312661, 0.534438115, 0.487002653, 0.335043612, 0.373346897, 0.627520161, 0.792114695, 0.938253012, 0.444553967, 0.625972763) C <- c(0.693491124, 0.866523143, 4.585714286, 1.512055109, 0.387755102, 0.513435701, 0.76252505, -0.113113113, 0.338521401, 0.333951763, 0.668755595, 0.401273885, 0.419868791, 0.272885789, 0.541541542, 0.32751938, 0.386409736, 0.957446809, 0.861195542, 1.531632653, 0.431610942, 1.226470588) D <- c(0.807792208, 0.548547718, 0.738232865, 0.542247744, 1.088964927, 0.862385321, 0.60720268, 1.000816993, 0.699289661, 0.41723356, 0.604037267, 0.605003791, 0.698940998, 0.764792899, 0.647897898, 0.825256975, 0.767476085, 0.941391941, 0.889547813, 0.324503311, 0.942435424, 0.740686633) E <- c(1.077598829, 0.318507891, 1.152616279, 0.930397727, 1.515994437, 0.940689655, 0.880886427, 1.054274084, 1.067282322, 0.677419355, 0.966233766, 0.761029412, 1.05734767, 0.615925059, 1.061988304, 1.07184241, 1.058890147, 1.123873874, 1.304891923, -0.069584736, 1.172757475, 0.501096491) require(copula) gumbel.copula <- gumbelCopula(dim = 2) p <- pobs(cbind(D + E, A + B+ C )) fit.gumbel <- fitCopula(gumbel.copula, p, method = "ml") ## The error is here when trying to fit the gumbel copula # I got the following error: ## Error in optim(start, loglikCopula, lower = lower, upper = upper, method ## method, : ## non-finite finite-difference value [1] ## In addition: Warning message: ## In .local(copula, tau, ...) : tau is out of the range [0, 1] ## MM: my version of copula gives the error message "some tau < 0" ## -- --------- ## and indeed: (tau.p <- cor(p[,1], p[,2], method="kendall")) ## [1] -0.1428571 ## ^--------- Kendall's tau is = - 1/7 < 0 ... and that is not good for Gumbel! plot(p) ##----------------------------------------------------------------------------- So, you tried fitting to *negatively* correlated data, and if you use the default instead of "ml" the copula is fit, and uses param = 1 (which corresponds to the *independence* copula: Because among all the (weakly) positively correlated gumbel copulas, the boundary case, param = 1 (<==> tau = 0) is the best fitting. What you can do is to "rotate" the data (actually mirror it), and fit a gumbel copula, which now works nice and easily : p2 <- p; p2[,2] <- 1-p2[,2] (tau.p2 <- cor(p2, method="kendall")) ## --> now positively correlated ## ---> gumb.ml.p2 <- fitCopula(gumbel.copula, p2, method = "ml") summary(gumb.ml.p2) # looks fine now : Call: fitCopula(copula, data = data, method = "ml") Fit based on "maximum likelihood" and 22 2-dimensional observations. Gumbel copula, dim. d = 2 Estimate Std. Error param 1.121 0.209 The maximized loglikelihood is 0.1839 Optimization converged Number of loglikelihood evaluations: function gradient 6 6 --- The next version of copula --- or the R-forge one, if you are interested will support fitting "rotated" copulas, so you fit a rotated gumbel copula, flipping, the 2nd coordinate (but not the first): rotGcop <- rotCopula(gumbelCopula(), flip=c(FALSE,TRUE)) f2 <- fitCopula(rotGcop, data = p) # default method: "mlp" summary(f2) ## Call: fitCopula(copula, data = data) ## Fit based on "maximum pseudo-likelihood" and 22 2-dimensional observations. ## rotCopula copula: Gumbel copula, dim. d = 2 ## Estimate Std. Error ## param 1.121 0.225 ## The maximized loglikelihood is 0.1839 ## Optimization converged ## Number of loglikelihood evaluations: ## function gradient ## 6 6 ------- Best regards, Martin Maechler, ETH Zurich