[R] Copula package: How to calculate correlation matrix using 144 variables to denote parameters for normal copula?

From: rasti matus <rastimatus_at_gmail.com>
Date: Mon, 10 Nov 2008 11:41:08 +0100


Dears,

I calculated correlation matrix using 144 variables with a given function: cor_flows_vec=cor()

Then I defined a normal copula with the above correlation matrix myCop=normalCopula(param=cor_flows_vec, dim = 144, dispstr = "un")

Then I created a multivariate distribution with our defined copula while the univariete functions were fitted by GEV distribution using fExtremes package library(fExtremes)

paramMargin=function(d){

n=length(d[1,])
param=c(1:n)

for (i in seq(1:n)){

    param[i]= list(list(xi=d[1,i], mu=d[2,i], beta=d[3,i]))
}

    return(param)
}

paramMargins=paramMargin(d)

myMvd <- mvdc(copula=myCop,
margins=c(rep("gev",144)),paramMargins=paramMargins)

The problem occures when I am trying to sample from the mvdc regarding correlation matrix.
rmvdc(myMvd, 3)

Cam anyone help? Thanks

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