search for: tcopula

...ike 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\\copula_0.8-3.zip") package 'co...

...lt;- optim(c(1,5), fn = loglik.marg, x = dat[, 1], control = ctrl)$par   b2hat <- optim(c(1,5), fn = loglik.marg, x = dat[, 2], control = ctrl)$par   udat <- cbind(pgamma(dat[, 1], shape = b1hat[1], scale = b1hat[2]),pgamma(dat[, 2], shape = b2hat[1], scale = b2hat[2]))   > fit.ifl <- fitCopula(myCop.t, udat,  method="mpl", c(1,5,1,5,8),estimate.variance=TRUE) Error in fitCopula.ml(data, copula, start, lower, upper, optim.control,  :   The length of start and copula parameters do not match.   > fit.ifl <- fitCopula(udat, myMvd@copula, c(1,5,1,5,8)) Error in fitCopula(udat...

...ptim(c(1,5), fn = loglik.marg, x = dat[, 1], control = ctrl)$par b2hat <- optim(c(1,5), fn = loglik.marg, x = dat[, 2], control = ctrl)$par udat <- cbind(pgamma(dat[, 1], shape = b1hat[1], scale = b1hat[2]),pgamma(dat[, 2], shape = b2hat[1], scale = b2hat[2])) > fit.ifl <- fitCopula(myCop.t, udat, method="mpl", c(1,5,1,5,8),estimate.variance=TRUE) Error in fitCopula.ml(data, copula, start, lower, upper, optim.control, : The length of start and copula parameters do not match. > fit.ifl <- fitCopula(udat, myMvd@copula, c(1,5,1,5,8)) Error in fitCopula(...

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? I'd appreciate a tip or 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 = -1747.58204...

Hi, I am trying to fit t copula to some data, and I am using the following function in the library(QRMlib). Udatac <- apply(datac, 2, edf,adjust=1) tcopulac <- fit.tcopula.rank(Udatac) But the error message come out "Error in fit.tcopula.rank(Udatac) : Non p.s.d. covariance matrix" Could anyone give me some advice? In fact, I am not sure what the "adjust=1" is used for. Many thanks. -- View this message in context: http://ww...

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...

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...

...a For Analysis (Kevin E. Thorpe) > 16. Re: Data consistency checks in functions (Kuhn, Max) > 17. Re: vectorize a function (Christos Hatzis) > 18. Re: extract index during execution of sapply (Ben Bolker) > 19. Re: extract index during execution of sapply (Thomas Lumley) > 20. fitCopula (Oden, Kevin) > 21. how to ave this? (Weiwei Shi) > 22. fitCopula (Oden, Kevin) > 23. Re: how to ave this? (Weiwei Shi) > 24. Re: Result depends on order of factors in unbalanced designs > (lme, anova)? (Prof Brian Ripley) > 25. Re: Tools For Preparing Data For Analysis...