Dear Martin, Following my earlier question on "error while fitting gumbel copula", I have also crated a new gist at https://gist.github.com/anonymous/ 0bb8aba7adee550d40b840a47d8b7e25 for easy checking and copying codes.
I got no problem fitting other Archimedean copulas except gumbel copula as per my code I used above. Appreciate your kind help. Many thanks, Isaudin On Mon, Aug 15, 2016 at 4:28 PM, Isaudin Ismail <isau...@gmail.com> wrote: > Dear Dr. Martin, > > I'm glad that you replied to my queries. > > As advised, I have prepared the following: > > library(copula) > > > > # 5 series of data, A, B, C, D and E > A <- c(0.849420849, 0.900652985, 0.97144217, 0.817888428, 0.877901578, > 1.070040669, 0.889742431, 0.87588968, 0.853541938, 0.848664688, > 0.876830319, 0.749582638, 0.818515498, 0.890997174, 0.794766966, > 0.784794851, 0.814858959, 1.074396518, 0.83752495, 0.894341116, > 0.880375293, 0.900816803) > > B <- c(0.479850746, 0.652111668, 1.880607815, 0.579902303, 0.50669344, > 0.747560182, 0.701754386, 0.48969697, 0.346751006, 0.379234973, > 0.862691466, 0.328280188, 0.317312661, 0.534438115, 0.487002653, > 0.335043612, 0.373346897, 0.627520161, 0.792114695, 0.938253012, > 0.444553967, 0.625972763) > > C <- c(0.693491124, 0.866523143, 4.585714286, 1.512055109, 0.387755102, > 0.513435701, 0.76252505, -0.113113113, 0.338521401, 0.333951763, > 0.668755595, 0.401273885, 0.419868791, 0.272885789, 0.541541542, > 0.32751938, 0.386409736, 0.957446809, 0.861195542, 1.531632653, > 0.431610942, 1.226470588) > > D <- c(0.807792208, 0.548547718, 0.738232865, 0.542247744, 1.088964927, > 0.862385321, 0.60720268, 1.000816993, 0.699289661, 0.41723356, > 0.604037267, 0.605003791, 0.698940998, 0.764792899, 0.647897898, > 0.825256975, 0.767476085, 0.941391941, 0.889547813, 0.324503311, > 0.942435424, 0.740686633) > > E <- c(1.077598829, 0.318507891, 1.152616279, 0.930397727, 1.515994437, > 0.940689655, 0.880886427, 1.054274084, 1.067282322, 0.677419355, > 0.966233766, 0.761029412, 1.05734767, 0.615925059, 1.061988304, > 1.07184241, 1.058890147, 1.123873874, 1.304891923, -0.069584736, > 1.172757475, 0.501096491) > > gumbel.copula <- gumbelCopula(dim = 2) > p <- pobs(as.matrix(cbind(D + E, A + B+ C ))) > > fit.gumbel <- fitCopula(gumbel.copula, p, method = "ml") #The error is > here when trying to fit the gumbel copula > > # I got the following error: > Error in optim(start, loglikCopula, lower = lower, upper = upper, method = > method, : > non-finite finite-difference value [1] > In addition: Warning message: > In .local(copula, tau, ...) : tau is out of the range [0, 1] > > #Due to error in fitting the gumbel copula, this step can't be processed > > coef(fit.gumbel) > gofCopula(gumbel.Copula, p, estim.method = "mpl", method = "Sn", > simulation = "mult") > > > Thanks in advance! > > Best regards, > Isaudin > > On Wed, Aug 10, 2016 at 5:08 PM, Martin Maechler < > maech...@stat.math.ethz.ch> wrote: > >> >>>>> Isaudin Ismail <isau...@gmail.com> >> >>>>> on Tue, 9 Aug 2016 14:30:18 +0100 writes: >> >> > Dear R experts, >> > I have 5 time series of data (A, B, C, D and E) with all same >> lengths. All >> > series exhibit gamma distribution except for B which is lognormal >> > distribution. I am using copula package to model the >> joint-distribution of >> > these 5 times series. >> >> > I have selected Archimedean copula and successfully fitted Frank >> and >> > Clayton copula. The problem is when trying to fit Gumbel copula. >> >> > The following are the codes I used to run in R. >> >> > # Data of 5 time series >> >> > A <- A >> > B <- B >> > C <- C >> > D <- D >> > E <- E >> >> well, the above is really an "interesting" block of R code ;-) >> >> -- >> >> More seriously, please learn to use reproducible examples, >> e.g., from here >> http://bit.ly/MRE_R (nice to remember: MRE = Minimal Reproducible >> Example) >> or here >> http://adv-r.had.co.nz/Reproducibility.html >> >> then we will be glad to help you, >> notably I as maintainer of the package 'copula' which you are >> using (without saying so). >> >> With regards, >> Martin Maechler >> >> >> > # Combined between A and C >> > A+C <- A + C >> >> > gumbel.copula <- gumbelCopula(dim = 5) >> > m <- pobs(as.matrix(cbind(A+C, B, D, E))) >> > fit.gumbel<- fitCopula(gumbel.copula, m, method = 'ml') >> >> > And the error while trying to fit gumbel copula: >> >> > Error in optim(start, loglikCopula, lower = lower, upper = upper, >> method = >> > method, : >> > non-finite finite-difference value [1] >> > In addition: Warning message: >> > In .local(copula, tau, ...) : tau is out of the range [0, 1] >> >> > Appreciate all help! >> >> > Many thanks, >> > Isaudin >> >> > [[alternative HTML version deleted]] >> >> > ______________________________________________ >> > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see >> > https://stat.ethz.ch/mailman/listinfo/r-help >> > PLEASE do read the posting guide http://www.R-project.org/posti >> ng-guide.html >> > and provide commented, minimal, self-contained, reproducible code. >> > > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.
