similar to: Copula as measure of correlation

Hello Anyone that now of any function in R that can calculate copulas? Or if anyone have any code avaible I would be more than interested. Thank you in advance /Thomas ______________________________________________ R-help at stat.math.ethz.ch mailing list https://www.stat.math.ethz.ch/mailman/listinfo/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

Dear r list, I posted this on the S list last week since i'm using some of the FinMetrics functions on copula. Knowing there is a copula package in R, I figure this would be an appropriate forum to ask this question. I want to model inverse relationship between two (non-normal, non-symmetric) marginals with the gumbel copula, or with any copula. Say, x is lognormal and y is norm. Since

Hello I am writing to you regarding your interest in Copula/copulae and it?s usage. I am currently studying Copula for my Master thesis and also therefore have a large interest in it. Now I am looking for information regarding copula as well as Copula and "R". Code, information how to calculate or anything would be appreciated! Since there seem to be little information regarding

Hi, Is anybody using Copula package for fitting copulas to own data? I have two marginals Log Normal with (parameters 1.17 and 0.76) and Gamma ( 2.7 and 1.05) Which package I should use to fit Gumbel and Clayton Copulas? Thanks, fayyad [[alternative HTML version deleted]]

>>>>> Soumen Banerjee <soumen08 at gmail.com> >>>>> on Sat, 21 Apr 2018 17:22:56 +0800 writes: > 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 - (not really reproducible: You did not set the random seed, so the data is different every time;

Hi, I would like to implement the empirical copula in R, does anyone know if it is included in a package? I know it is not in the "Copula" package. This one only includes a gof-test based on the empirical copula process. Thanks for your help! Gregor -- View this message in context: http://www.nabble.com/Empirical-copula-in-R-tf4018319.html#a11412335 Sent from the R help mailing list

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

Thanks Dimitris!!! That's much clearer now. Still have a lot of work to do this weekend to understand every bit but your code will prove very useful. Cheers, Aziz -----Original Message----- 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

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 =

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"?

Hello, I am a new user of R (2.13.1), my operational system is Windows Vista. I have a problem with the attached file SFEVaRHAC.r, calculating the VAR of a Gumbel copula, based on the attached GumHAC_VaR_PL_w250_n1000_s2500.txt 1. I had a Error in file(file, "rt") : cannot open the connection message. I solved it by reading a post in nabble to use setwd(choose.dir()) and

Dear I estimate a sample selection model using the Clayton copula and Burr and Gaussian marginal. I need to derive ther Kendall'sw tau from the concordance coefficient by integration. I came across a way to do that in R long time ago but cannot find it again. Can somewone tell me what to read and what to use? Thank you. Steven Yen

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

Hola, Quiero saber si es posible programar una cópula 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,

Hello, I have a bigger problem in calculating the Maximum Likelihood Estimator regarding the degree of freedom of a multivariate skew-t copula. First of all I would like to describe what this is all about, so that you can understand my problem: I have 2 time series with more than 3000 entries each. I would like to calculate a multivariate skew-t Copula that fits this time series. Notice:

Hi, Is anybody using Copula package for fitting copulas to own datas? I always got this message: Error in qnorm(p, mean, sd, lower.tail, log.p) : Non-numeric argument to mathematical function thanks, Psl _______________________________________________________________ Ossza meg bar?taival f?nyk?pen meg?r?k?tett ?lm?nyeit. http:\\fototar.t-online.hu

Hi all, I have this data set: ## Empirical copula ## dt1 = ranking ## dt2 = observed uniform data associated with the ranking   Sample data, > dt1         S_i   R_i  [1,]   7.0  10.0  [2,] 232.5 440.5  [3,] 143.0 141.5  [4,] 272.5 222.0  [5,]  46.0  34.0  [6,] 527.0 483.0  [7,] 420.5 563.5  [8,]  23.5  16.5  [9,]  56.5  68.5 [10,] 341.5 382.5   > dt2       unisk1 unisk2  [1,]  0.008  0.010

I need to fit a t copula with fixed degree of freedom let's say 4. I do not want to estimate the dof together with correlation matrix optimally. Instead fix the dof to 4 and only estimate the correlation matrix in the optimization routine. Is anyone aware of such estimation method in R. The packages and functions that I know of can't do this estimation. I searched online but

Dear All, I'm now working on Archimedean copulas and try to test the goodness of fit. Which packages I should use? I have Clayton copula with parameter (5.35) and Frank (19.5). I found this build function wrote by Yan and Ivan via R Packages, but I'm not sure the matrix for x? Please advice. e.g gofCopula(claytonCopula(1),x) Thank you Regards, Fayyad [[alternative HTML version