[R] Copula Fitting Using R

[Pfaff, Bernhard Dr.]

Hello Denis & Fayyad,

in principal the advice given is appropriate, but QRMlib has been removed from CRAN lately, due to a glitch with its dependencies and the current version of R. Hence, to get the package installed and does not want to wait until it shows up on CRAN, one should to the following in the intermediate time:

1) Grab an old release of QRMlib from the CRAN archive.
2) Obtain the packages fSeries and fCalendar from R-Forge
3) Install 2) and 1) in that order.

Best,
Bernhard

ps: The package maintainer of QRMlib is aware of the problem and hopefully, the package QRMlib is fixed quite soon.  

-----Ursprüngliche Nachricht-----
Von: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Im Auftrag von Dennis Murphy
Gesendet: Freitag, 25. November 2011 09:10
An: cahaya iman
Cc: r-help at r-project.org
Betreff: Re: [R] Copula Fitting Using R

Hi:

This is the type of question for which the sos package can come to the rescue:

library('sos')
findFn('Gumbel Clayton copula')

It appears that the QRMlib package would be a reasonable place to start.

Dennis

On Thu, Nov 24, 2011 at 7:29 PM, cahaya iman <qaisfayyad at gmail.com> wrote:
> Hi,
>
> Is anybody using Copula package for fitting copulas to own data?
> I have two marginals Log Normal with (parameters 1.17 and 0.76) and Gamma (
> 2.7 and 1.05)
>
> Which package I should use to fit Gumbel and Clayton Copulas?
>
> Thanks,
> fayyad
>
>        [[alternative HTML version deleted]]
>
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