[R] fitCopula method in R
atreibel3 at mail.gatech.edu
atreibel3 at mail.gatech.edu
Thu Jan 18 17:15:19 CET 2007
--
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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