[R] Error while fitting gumbel copula

Isaudin Ismail
Tue, 09 Aug 2016 13:30:18 -0000

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

# 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

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