similar to: Fit t Copula

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 =

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'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

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")

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

Hi all, I am trying to fit t distribution using the function "tFit" in the library(fBasics). I am using the code tFit(datac[[2]]) and it returns the following list. Title: Student-t Parameter Estimation Call: tFit(x = datac[[2]]) Model: Student-t Distribution Estimated Parameter(s): df 78.4428 I just wonder how can I refer to the estimated parameters. I tried

Greetings List, I'm having some trouble with the use of the names function in a formula. Below is an example of something that works (i.e first line), and the second line is the same formula which doesn't. I want to be able to reference the column of the dataC table so I can run the variogram iteratively with a loop. > v<-variogram(A1~1,loc=~x+y, dataC) >

Hello all, I really appreciate how helpful the people in this list are. Would it be too much to ask to send a small script to have it peer-reviewed? to make sure I am not making blatant mistakes? The script takes an experiment.dat as input and generates system Throughput using ggplot2. It works now ... [sigh] but I have this nasty feeling that I might be doing something wrong :). Changing

Hi R-helpers, I have been struggling with calculating row and column statistics, e.g. standard deviation. I know that > datac$Mean<-rowMeans(datac,na.rm=TRUE) will give me row means. I have tried to replicate those row means with the apply function: > datac$Mean2<-apply(datac,2,mean) so that I can replace the function argument with "sd" (instead of mean) to get standard

Hi, I am having real problems downloading the package 'QRMlib'. The tar.gz file is shown here: http://cran.r-project.org/src/contrib/Archive/QRMlib/ I have downloaded this to my local folder and entered the following command: nstall.packages("myLocalFolder/QRMlib_1.4.5.1.tar.gz", repos = NULL) but I am getting the following error message Installing package(s) into

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]]

Dear List, R ist somtimes a bit frustrating... I ran the example from http://bm2.genes.nig.ac.jp/RGM2/R_current/library/QRMlib/man/plotMultiTS.html and I get an error. Has someone an explanation for this? Thanks a lot, Steve CODE: library(R.utils) library(tseries) library(wmtsa) library(waveslim) library(brainwaver) library(timeSeries) library(QRMlib) > ?plotMultiTS >

Dear All- I am trying to merge two data files - they have different date formats and different times zones. I need to match up the date/time of the datasets and then invoke a conditional statement, such as: if dataC$mph is >= 12 then keep dataM$co23 for the corresponding time/date stamp. snippets of data files: *dataC.txt* LST in mph Deg DegF DegF2 % volts Deg

hello list, i'm a bit puzzled by the error message i get when i copy past this in R:

What is the problem here? I did an install package from the Rgui menu. Windows Vista <SNIP> trying URL 'http://cran.cnr.Berkeley.edu/bin/windows/contrib/2.9/mvtnorm_0.9-8.zip' Content type 'application/zip' length 236089 bytes (230 Kb) opened URL downloaded 230 Kb trying URL 'http://cran.cnr.Berkeley.edu/bin/windows/contrib/2.9/QRMlib_1.4.4.zip' Content type

Dear R users, I am looking for R packages that would best approximate Oracle's Crystall Ball [1]. For those not familiar: "Crystal Ball software is a leading spreadsheet-based software suite for predictive modeling, forecasting, Monte Carlo simulation and optimization. [..] Crystal Ball is used by customers from a broad range of industries, such as aerospace, financial services,

I created a EM algorithm for Generalized hyperbolic distribution. I want to estimate mutheldaplus, sigmatheldaplus, betasigmaplus in my code. After getting use these value , then my iteration have to be begin of this code. But I can not to do iteration part. Can you help me use my code and get iteration ? Do know any useful code for EM algorithm for Generalized Hyperbolic library(QRMlib)

Dear Specialists in R, May be somebody has experiment in using pakage for the book Quantitative Risk Management by McNeil? This package is writen in R. I have run this package for fitting the data to Nornal Inverse Gaussian distribution and fased with following problem. > Return<-read.csv("data.csv") > Transpose<-t(Return) > fit.NH(Transpose, case="NIG",

Dear, I'm a master student mathematics at university Gent, who's writing a thesis about vines and copula's. I'm in trouble with the package 'fCalendar' which I need for running 'QRMlib'. The problem is that 'fCalendar' doesn't have a namespace. I need to use R.2.14.1 because I also need the package 'vines' which only works for R.2.14.1. I'm

Hi r-users,   I really need help in fitting the t-copula.  I try to reproduce the example given by Jun Yan in “Enjoy the joy of copula” but I’m not sure how to correct the error based on the error message.  I tried so many ways but still could not get it working.   loglik.marg <- function(b, x) sum(dgamma(x, shape = b[1], scale = b[2], log = TRUE))   ctrl <- list(fnscale = -1)   #dat <-