search for: normalcopula

Hey all, I'm trying to construct a 7-dimensional normal copula using the copula package. I'd like to supply as parameter a randomly generated correlation matrix (that I'll convert to a vector so I can feed it to the normalCopula function). What order do the pairwise correlations inside that vector have to be in? In other words: What does the normalCopula function "expect"? Thanks!

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(...

...stion & answer would be Q: What is the best fitting 3D copula if you have perfectly correlated ("rank 1") data? A: The complete-dependence copula ... which is indeed a boundary case, hard to imagine you'd encounter for non-artifical data. Another hint: > fitCopula(normalCopula(,3), pobs(data)) Call: fitCopula(copula, data = data) Fit based on "maximum pseudo-likelihood" and 200 3-dimensional observations. Copula: normalCopula rho.1 1 The maximized loglikelihood is 3686 Optimization converged > ----------- Yes, one could adapt the fitCopula() code to...

...column one, bind every column with column 1 Step2: use the new matrix, "test", in the fitCopula package Step3: store each result in myfit, bind each result to "answer" Step4: return "answer" copula_est <- function(z) { for(i in 1:length(z[1,])) { my.cop <- normalCopula(param = 0.5, dim = 2) test <- cbind(z[,1],z[,i]) myfit[i] <- fitCopula(test,my.cop, start=0.3) } answer <- cbind(myfit[i]) return(answer) } Errors received: Error: object "test" not found Could my syntax be incorrect, or is it a deeper faulty logic error. Thank you for...

Dear R helper, does anyone have an idea on why R.2.4.0 draws the surface for the two command lines below and the next time it renders the error message below for exactly the same command lines: > norm.cop <- normalCopula(0.5) > persp(norm.cop, dcopula) Error in ceiling(length.out) : Non-numeric argument to mathematical function. I will appreciate any help from anyone thanks, Dominique K.

Hello! I am trying to fit a copula to some data in R and I get the error mentioned above. This is the code for a reproducible example - library(copula) data = matrix(data=runif(600),nrow=200,ncol=3) data[,2] = 2*data[,1] data[,3] = 3*data[,1] fr_cop = frankCopula(dim=3) fit_fr_cop = fitCopula(fr_cop,pobs(data),method = "mpl") #Error Here The error says : Error in fitCopula.ml(copula, u

...ian copula density function generated via the copula package. Unfortunately, it appears that emdbook masks dmvnorm from the package mvtnorm in a way that prohibits copula from generating the gaussian copula. (Sounds very confusing!) For example, > library(copula) > f<-function(x,y) dcopula(normalCopula(0),c(x,y)) > library(emdbook) > curve3d(f) Error in dmvnorm(x, sigma = sigma) : unused argument(s) (sigma = sigma) Is there no way for me to use those two libraries together? Thanks, Dan [[alternative HTML version deleted]]

...a donde las funciones marginales son multivariantes, 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...

...;) [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 month = 11 day = 26 svn rev = 43537 language = R version.string = R version 2.6.1 (2007-11-26) Windows...

-- 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...

...,1]), etc. Unfortunately, my code below only binds z[,1] and m_index[,1] and return the same result 14 times. Any ideas on how to implement my idea would be greatly appreciated. Also, why am I getting the same result 14 times, shouldn't it be 15 since there are 15 columns in z? my.cop <- normalCopula(param = 0.5, dim = 2) answer <- apply(z[,-1], 2, function(m_index[,1],my.cop) fitCopula(cbind(z[,-1], m_index[,1]), my.cop, start=0.3), my.cop = my.cop) Thanks for help. Adam (aat) -- View this message in context: http://www.nabble.com/traverse-through-many-columns-of-a-matrix-in-a-function...

Dear R-helper, Is there any thing that I am doing wrong in the following codes: > norm.cop <- normalCopula(0.5) > persp(norm.cop, dcopula) The last command produces what follows Error in persp(x, y, z, xlim, ylim, zlim, theta, phi, r, d, scale, expand, : invalid 'x' argument In addition: Warning messages: 1: no non-missing arguments to min; returning Inf 2: no non-missing argument...

...essage----- From: Dimitrios Rizopoulos [mailto:Dimitris.Rizopoulos at med.kuleuven.be] Sent: May 12, 2006 4:35 PM To: Chaouch, Aziz Subject: RE: [R] Maximum likelihood estimate of bivariate vonmises-weibulldistribution look at the following code: library(copula) par(mfrow = c(2, 2)) x <- mvdc(normalCopula(sin(0.5 * pi /2)), c("norm", "norm"), list(list(mean = 0, sd = 1), list(mean = 0, sd = 1))) contour(x, dmvdc, xlim = c(-2.7, 2.7), ylim = c(-2.7, 2.7)) x <- mvdc(frankCopula(5.736276), c("norm", "norm"), list(list(mean = 0, sd = 1), list(mean = 0, sd = 1)...

Hi, How can I generate a random signal that's correlated with a given signal at a given correlation (say 0.7)? I've been looking at rmvnorm etc but don't seem to figure it out. Thanks ----- Yasir H. Kaheil Columbia University -- View this message in context: http://www.nabble.com/generating-a-random-signal-with-a-known-correlation-tp18932541p18932541.html Sent from the R help

hi, first I want to say that I'm new here, and new with copula and R. That is the reason why I'm writing, if somebody can help me. I have to make an example of Copula. On internet I've found this forum and that copula can calculate with R. Can somebody help me with the thing how can I start and where can read about these stuffs. Thank to all who can help! -- View this message