[R] fitCopula

[crogg01]

Looks like plenty of people have had this problem b4 you - incl myself. Might
be an issue with this function. I had better luck using the function in
QRMlib package (fit.tcopula.rank, etc). Though for some really large data
sets I had to fudge the function itself with noforce=FALSE on the Kendall
call and some removal of NaN and NA's.



Oden, Kevin wrote:
> 
> I  am using R 2.5.0 on windows XP and trying to fit copula.  I see the
> following code works for some users, however my code crashes on the
> chol.   Any suggestions?
> 
>  
> 
>>  mycop <- tCopula(param=0.5, dim=8, dispstr="ex", df=5) 
> 
>>  x <- rcopula(mycop, 1000) 
> 
>>  myfit <- fitCopula(x, mycop, c(0.6, 10), optim.control=list(trace=1),
> method="Nelder-Mead") 
> 
>   Nelder-Mead direct search function minimizer
> 
> function value for initial parameters = -1747.582044
> 
>   Scaled convergence tolerance is 2.6041e-05
> 
> Stepsize computed as 1.000000
> 
> Error in chol(x, pivot = FALSE) : the leading minor of order 2 is not
> positive definite
> 
>  
> 
> Kevin D. Oden
> 
> e: kevin.oden at wachovia.com <mailto:kevin.oden at wachovia.com> 
> 
>  
> 
> 
> 	[[alternative HTML version deleted]]
> 
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