Displaying 20 results from an estimated 1000 matches similar to: "Empirical copula in R"
2010 Mar 03
1
empirical copula code
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
2012 Jul 12
0
Generate random numbers with nested Archimedean Copula
Hi everybody,
I try to simulate random numbers from a trivariate nested Archimedean
copula. My aim is to correlate two processes with, e.g. theta2, as the so
called child pair and then to correlate these two processes with a third one
with theta1 (parent). This "figure" tries to capture what I am explaining
theta1
theta2
2011 Dec 09
1
Goodness of Fit for Copula
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
2018 Apr 21
0
Error : 'start' contains NA values when fitting frank copula
>>>>> 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;
2008 May 09
0
Log likelihood estimation using bivariate archimedean copula
Hi all,
I am trying to build a copula model using the Gumbel Copula and I have
two marginal distributions.I know the marginal parameters by using the
fitdistr() and optim().The problem is I dont know my copula parameter.
I am getting a bit confused of how shall I go about it.I read the
previous threads where the query was to estimate all the
parameters.How shall I define my log-likelihood
2006 Apr 24
1
Modeling inverse relationship with copula
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
2003 Nov 07
1
Copula functions in R?
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
2012 Oct 19
1
quantile regression using copulas
Hi all,
Has anyone used the qua.regressCOP2 function from the copBasic package???
The default copula function used in this function is plackett copula and I
wanted to use archimedean copula. Attached below is my code:
mycop<-frankCopula
V=seq(0.001,0.99,by=0.000217)
R<-qua.regressCOP2(0.25,V,cop=mycop,para=c(3.504))
And this is the error I get:
Warning messages:
1: In
2018 Apr 21
2
Error : 'start' contains NA values when fitting frank copula
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
2019 Jun 24
1
Calculation of e^{z^2/2} for a normal deviate z
>>>>> jing hua zhao
>>>>> on Mon, 24 Jun 2019 08:51:43 +0000 writes:
> Hi All,
> Thanks for all your comments which allows me to appreciate more of these in Python and R.
> I just came across the matrixStats package,
> ## EXAMPLE #1
> lx <- c(1000.01, 1000.02)
> y0 <- log(sum(exp(lx)))
> print(y0) ## Inf
2009 Apr 22
1
Copula package
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 =
2007 Jul 16
3
R and Copula
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
2013 Mar 17
1
Copula package - normalCopula() param order
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"?
2011 Sep 18
2
calculating VAR of a (Gumbel) copula
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
2011 Nov 25
1
Copula Fitting Using R
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]]
2023 Nov 07
1
Concordance and Kendall's tau in copula
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
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
2011 Sep 16
1
copula con marginales multivariantes
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,
2009 Sep 23
1
Maximum Likelihood Est. regarding the degree of freedom of a multivariate skew-t copula
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:
2006 Oct 23
2
Copula fitting
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
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