search for: rcopula

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. ___________________________________________________________________________ Découvrez une nouvelle façon d'obtenir de...

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 tolerance is 2.6041e-05 Stepsize computed as 1....

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?

...rom M-step) and plug it in the weight, to get a new value of the weight. Then, iterate till converges. I tried the following code, but it does not work. library(copula) library(VineCopula) ## to generate the data set.seed(123) cp <- mixCopula(list(frankCopula(4),claytonCopula(2))) cop <- rCopula(100,cp) x <- pobs(cop) ## this is the data ## my function including optim function myfunc <- function(data,copula=list(frankCopula(4,dim=2), claytonCopula(0.5,dim=2)),maxit=200){ ? ??# copula[[1]]@parameters <- par[1] ? # copula[[2]]@parameters <- par[2] ? optim_1 <- function(par, d...

Hi, I'm a new user of R. I'm using package copula implemented in R. I want to know how to test goodness of fit of student's t copula for 3 dimensional cases using real world data. In manual gof test has been performed on the copula families generated from rcopula function that i understood as random data generated from copula? How to perform the test with real/observed data matrix. kindly let me know.

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

...t; > 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 tolerance i...