Displaying 9 results from an estimated 9 matches for "ellipcopula".
2009 Apr 22
1
Copula package
...ing 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\\copula_0.8-3.zip")
package 'copula' successfully unpacked and MD5 sums checked
updating HTML package descriptions
> norm.cop <- normalCopula(c...
2007 Mar 01
1
Fit Student Copula
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.
______________________...
2010 Jun 09
0
fitting t copula
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(...
2013 Apr 21
1
Using copulas with user-defined marginal functions
...xist. Can somebody guide me
where my mistake is?
dtobit <- function(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, m...
2008 Jan 05
3
is(x, "parent") returns FALSE when class(x) is c("child", "parent") (PR#10549)
is() does not catch parent S3 classes:
> library(splines)
> temp <- 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 = i3...
2011 Jun 01
0
problems with copula
Hi, I'd like to know why using the program "R" I can't add a number of
margins> 3, I have a problem with the graphics.
Post here my script:
> myCop.norm <- ellipCopula(family = "normal", dim = 3, param = 0.4)
> myMvd <- mvdc(copula = myCop.norm, margins = c("norm", "norm","norm"),
> paramMargins = list(list(mean = 0, sd = 2), list(mean = 0, sd =
> 1),list(mean=0,sd=2)))
persp(myMvd, dmvdc, xlim = c(-4, 4), ylim=...
2013 Apr 22
0
Copula fitMdvc:
...a),(1-pnorm((x%*%beta)/sigma)))}
dtobit3 <- function(beta,sigma,x,y3) {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 <- a...
2010 Jun 10
0
error message fitting tcopula
...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,...
2010 Jun 10
0
error message in fitting tcopula
...e
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...