[R] error message in fitting tcopula

From: Zakaria, Roslinazairimah - zakry001 <Roslinazairimah.Zakaria_at_postgrads.unisa.edu.au>
Date: Thu, 10 Jun 2010 15:59:15 +0930


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 <- stn_pos[,1:2] ## observed data

myCop.t <- ellipCopula(family = "t", param = 0.5,dim = 2, dispstr = "un", df = 8)

myCop.t  

myMvd <- mvdc(copula = myCop.t, margins = c("gamma", "gamma"), paramMargins = list(list(shape = 1.5, scale = 38),

list(shape = 1.7, scale = 50)))

myMvd

n <- 200

dat <- rmvdc(myMvd, n)  

mm <- apply(dat, 2, mean)

vv <- apply(dat, 2, var)

rho <- rcorr(dat,type="spearman")[[1]]; round(rho,2)

rbind(mm,vv)  

b1.0 <- c(mm[1]^2/vv[1], vv[1]/mm[1])

b2.0 <- c(mm[2]^2/vv[2], vv[2]/mm[2])

a.0 <- sin(cor(dat[, 1], dat[, 2], method = "kendall") * pi/2)

start <- c(b1.0, b2.0, a.0)  

b1hat <- optim(c(1,5), fn = loglik.marg, x = dat[, 1], control = ctrl)$par  

b2hat <- optim(c(1,5), fn = loglik.marg, x = dat[, 2], control = ctrl)$par  

udat <- cbind(pgamma(dat[, 1], shape = b1hat[1], scale = b1hat[2]),pgamma(dat[, 2], shape = b2hat[1], scale = b2hat[2]))  

> fit.ifl <- fitCopula(myCop.t, udat, method="mpl",
c(1,5,1,5,8),estimate.variance=TRUE)

Error in fitCopula.ml(data, copula, start, lower, upper, optim.control, :

  The length of start and copula parameters do not match.  

> fit.ifl <- fitCopula(udat, myMvd_at_copula, c(1,5,1,5,8))

Error in fitCopula(udat, myMvd_at_copula, c(1, 5, 1, 5, 8)) :

  Implemented methods are: ml, mpl, itau, and irho.

In addition: Warning messages:

  1. In if (method == "ml") fit <- fitCopula.ml(data, copula, start, :

  the condition has length > 1 and only the first element will be used

2: In if (method == "mpl") fit <- fitCopula.mpl(copula, data, start, :

  the condition has length > 1 and only the first element will be used

3: In if (method == "itau") fit <- fitCopula.itau(copula, data, estimate.variance) else if (method == :

  the condition has length > 1 and only the first element will be used

4: In if (method == "irho") fit <- fitCopula.irho(copula, data, estimate.variance) else stop("Implemented methods are: ml, mpl, itau, and irho.") :

  the condition has length > 1 and only the first element will be used  

> fit.ifl <- fitCopula(udat, myMvd@copula, a.0) ## this given the paper

Error in fitCopula(udat, myMvd_at_copula, a.0) :

  Implemented methods are: ml, mpl, itau, and irho.  

Thank you so much for your help.      

Regards,  

Roslinazairimah Zakaria

PhD Student

School of Maths & Stats

University of South Australia

Mawson Lakes, SA 5095.

Ph: 83025296  

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