[R] fitCopula

crogg01 crogg01 at yahoo.co.uk
Wed Sep 5 01:06:04 CEST 2007


Looks like plenty of people have had this problem b4 you - incl myself. Might
be an issue with this function. I had better luck using the function in
QRMlib package (fit.tcopula.rank, etc). Though for some really large data
sets I had to fudge the function itself with noforce=FALSE on the Kendall
call and some removal of NaN and NA's.



Oden, Kevin wrote:
> 
> 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 = -1747.582044
> 
>   Scaled convergence tolerance is 2.6041e-05
> 
> Stepsize computed as 1.000000
> 
> Error in chol(x, pivot = FALSE) : the leading minor of order 2 is not
> positive definite
> 
>  
> 
> Kevin D. Oden
> 
> e: kevin.oden at wachovia.com <mailto:kevin.oden at wachovia.com> 
> 
>  
> 
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 

-- 
View this message in context: http://www.nabble.com/fitCopula-tf3965203.html#a12488563
Sent from the R help mailing list archive at Nabble.com.



More information about the R-help mailing list