search for: dispstr

Hi R-users, I would like to use the copula package.? I? the package plus the mvtnorm and try to run the example given, but I got the following message: install.packages(repos=NULL,pkgs="c:\\Tinn-R\\copula_0.8-3.zip") norm.cop <- normalCopula(c(0.5, 0.6, 0.7), dim = 3, dispstr = "un") t.cop <- tCopula(c(0.5, 0.3), dim = 3, dispstr = "toep", df = 2, df.fixed = TRUE) ## from the wrapper norm.cop <- ellipCopula("normal", param = c(0.5, 0.6, 0.7), dim = 3, dispstr = "un") > install.packages(repos=NULL,pkgs="c:\\Tinn-R\\c...

Hello everybody, I have a big problem that I do not manage to solve ! I will be very grateful if you can solve this ! I want to fit a t Copula with the copula package : > student.cop <- ellipCopula("t", param = c(0.5, 0.6, 0.7), dim = 3, dispstr = "un",df=5) > x<-rcopula(student.cop,1000) > fit <- fitCopula(x, student.cop, c(0.5,0.5,0.5,5)) And there is an error for the optimization. Thanks a lot if you respond to me ! Pierre. ___________________________________________________________________________ Déc...

I am using R 2.5.0 on windows XP and trying to fit copula. I see the following code works for some users, however my code crashes on the chol. Any suggestions? > mycop <- tCopula(param=0.5, dim=8, dispstr="ex", df=5) > x <- rcopula(mycop, 1000) > myfit <- fitCopula(x, mycop, c(0.6, 10), optim.control=list(trace=1), method="Nelder-Mead") Nelder-Mead direct search function minimizer function value for initial parameters = -1747.582044 Scaled convergence to...

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)   ## logl...

...beta,sigma, x, y) {ifelse(y>0, dnorm(y,x%*%beta, sigma),(1-pnorm((x%*%beta)/sigma)))} ptobit <- function(beta,sigma, x, y) {ifelse(y>0, pnorm((y-x%*%beta)/sigma),(1-pnorm((x%*%beta)/sigma)))} myMvdc <- mvdc(copula = ellipCopula("normal", param = c(rho12, rho13, rho23),dim = 3, dispstr = "un"), margins = c("tobit", "tobit", "tobit"), paramMargins = list(list(beta=beta1,sigma=s1), list(beta=beta2,sigma=s2), list(beta=beta3,sigma=s3))) mydmvdc <- dMvdc(y, myMvdc) Error in eval(expr, envir, enclos) : could not find function...

...ariantes, siguiendo el esquema del package ''Copula''. Es decir, Copula(F(x,y), G(w,z))) En el caso de funciones marginales univariantes, un ejemplo de la normal multivariante quedaria de la siguiente forma, copulagaussiana<-mvdc(normalCopula(vector_de_correlaciones,dim=3,dispstr ="un"),c(rep("norm",3)),list(param1,param2,param3)) donde ''vector_de_correlaciones'' es un vector con las componentes del triángulo superior de la matriz de correlaciones ordenadas adecuadamente. La función entiende así que la matriz es simétrica con elementos...

Is anybody using the Copula package in R? The particular problem I'm facing is that R is not acknowledging the fitCopula command/function when I load the package and (try to) run something very simple: fit1 <- fitCopula(x1 = list(u11,u12,u13,u14,u15,u16,u17,u18), tCopula, optim.control = list(NULL), method = "BFGS") Anybody also using it, successfully or unsuccessfully?

...- bs(1:99, df=5) > class(temp) [1] "bs" "basis" > is(temp, "basis") [1] FALSE In contrast, is() does catch parent S4 classes: > library(copula) > norm.cop <- ellipCopula("normal", param = c(0.5, 0.6, 0.7), + dim = 3, dispstr = "un") > is(norm.cop, "copula") [1] TRUE > class(norm.cop) [1] "normalCopula" --please do not edit the information below-- Version: platform = i386-pc-mingw32 arch = i386 os = mingw32 system = i386, mingw32 status = major = 2 minor = 6.1 year = 2007...

-- Hello, I am attempting to fit monthly stock returns to possible copula functions using the copula package in R. Below is my code (mat2 is a 2x119 matrix of the two stock returns): my.cop <- normalCopula(param=.3, dim = 2, dispstr = "un") myfit <- fitCopula(mat2,my.cop, start=.65, optim.control= list(NULL), method = "BFGS") myfit Unfortunately, I continue to receive this error: Error in optim(start, loglikCopula, method = method, copula = copula, : initial value in 'vmmin' is not fin...

I'm a new user of R and a novice user in copula R package. I want to fit 3-dimensional t copula for my trivariate data. So I used the command t.cop <- tCopula(c(0.785,0.283,0.613),dim=3,dispstr="un",df=6,df.fixed = TRUE) where c(0.785,0.283,0.613) is the correlation pattern of my data with 0.785 pearson correlation between variable 1-2, 0.283 correlation between 1-3 and 0.613 is the correlation between variable 2-3. In given command degree of freedom (dof) is fixed at 6 and i...

Hi all, I need to test gof of 3-dimensional t copula for my trivariate observed data set. So I used the command t.cop <- tCopula(c(0.785,0.283,0.613),dim=3,dispstr="un",df=6,df.fixed = TRUE) where c(0.785,0.283,0.613) is the correlation pattern of my data with 0.785 pearson correlation between variable 1-2, 0.283 correlation between 1-3 and 0.613 is the correlation between variable 2-3. In given command degree of freedom (dof) is fixed, which i'...

...{ifelse(Y3>0, dnorm(Y3,x%*%beta, sigma),(1-pnorm((x%*%beta)/sigma)))} ptobit3 <- function(beta,sigma,x,y3) {ifelse(Y3>0, pnorm((Y3-x%*%beta)/sigma),(1-pnorm((x%*%beta)/sigma)))} #mvdc object myMvdc <- mvdc(copula = ellipCopula("normal", param = c(rho12, rho13, rho23),dim = 3, dispstr = "un"), margins = c("tobit1", "tobit2", "tobit3"), paramMargins = list(list(beta=fit1$coef,sigma=sigma1), list(beta=fit2$coef,sigma=sigma2), list(beta=fit3$coef,sigma=sigma3))) start <- as.vector(c(fit1$coef,sigma1, fit2$coef,sigma2, fit3$coef,sigma3,rho1...

...age.  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...

...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 <-...

...wachovia.net> > > Content-Type: text/plain > > I am using R 2.5.0 on windows XP and trying to fit copula. I see the > following code works for some users, however my code crashes on the > chol. Any suggestions? > > > > > mycop <- tCopula(param=0.5, dim=8, dispstr="ex", df=5) > > > x <- rcopula(mycop, 1000) > > > myfit <- fitCopula(x, mycop, c(0.6, 10), optim.control=list(trace=1), > method="Nelder-Mead") > > Nelder-Mead direct search function minimizer > > function value for initial parameters =...