[R] fitCopula method in R

atreibel3 at mail.gatech.edu atreibel3 at mail.gatech.edu
Thu Jan 18 17:15:19 CET 2007


I am attempting to fit monthly stock returns to possible copula functions using
the copula package in R.  Below is my code (mat2 is a 2x119 matrix of the two
stock returns):

my.cop <- normalCopula(param=.3, dim = 2, dispstr = "un")
myfit <- fitCopula(mat2,my.cop, start=.65, optim.control= list(NULL), method =

Unfortunately, I continue to receive this error:

Error in optim(start, loglikCopula, method = method, copula = copula,  :
        initial value in 'vmmin' is not finite
In addition: Warning message:
NaNs produced in: qnorm(p, mean, sd, lower.tail, log.p)

I don't know why my start value is wrong or how to choose a correct one.  Any
help is greatly appreicated.  Thanks.


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