[R] fitCopula method in R

From: <atreibel3_at_mail.gatech.edu>
Date: Thu 18 Jan 2007 - 16:15:19 GMT

--
Hello,

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 =
"BFGS")
myfit

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.

Adam

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Received on Fri Jan 19 03:43:46 2007

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