[R] Fit Student Copula

[Jun Yan]

> set.seed(1)
> student.cop <- ellipCopula("t", param = c(0.5, 0.6, 0.7), dim = 3, dispstr = "un",df=5)
> x<-rcopula(student.cop,1000)
> fit <- fitCopula(x, student.cop, c(0.5,0.5,0.5,5))
Warning messages:
1: NaNs produced in: qt(p, df, lower.tail, log.p)
2: NaNs produced in: sqrt((df + d)/(Q + df))
3: NaNs produced in: sqrt((df + d)/(Q + df))
4: NaNs produced in: sqrt((df + d)/(Q + df))
5: NaNs produced in: sqrt((df + d)/(Q + df))
> fit
The ML estimation is based on  1000  observations.
       Estimate Std. Error   z value     Pr(>|z|)
rho.1 0.4824018 0.02460306 19.607386 0.000000e+00
rho.2 0.6076102 0.01993649 30.477289 0.000000e+00
rho.3 0.6938202 0.01596493 43.459018 0.000000e+00
df    5.2299217 0.64155266  8.151976 4.440892e-16
The maximized loglikelihood is  665.585
The convergence code is  0


On 3/1/07, pierre clauss <pierreclauss at yahoo.fr> wrote:
> Hello everybody,
> I have a big problem that I do not manage to solve !
> I will be very grateful if you can solve this !
>
> I want to fit a t Copula with the copula package :
>
> > student.cop <- ellipCopula("t", param = c(0.5, 0.6, 0.7), dim = 3, dispstr = "un",df=5)
> > x<-rcopula(student.cop,1000)
> > fit <- fitCopula(x, student.cop, c(0.5,0.5,0.5,5))
>
> And there is an error for the optimization.
>
> Thanks a lot if you respond to me !
> Pierre.
>
>
>
>
>
>
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-- 
Jun Yan
Assistant Professor
Department of Statistics and
 Actuarial Science                             Voice: 319-335-0824
University of Iowa                               Fax: 319-335-3017
219 Schaeffer Hall                          Email: j-yan at uiowa.edu
Iowa City, IA 52242           Web: http://www.stat.uiowa.edu/~jyan