[R] Error while fitting gumbel copula

[Isaudin Ismail]

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 <maechler at stat.math.ethz.ch
> wrote:

> >>>>> Isaudin Ismail <isaudin at 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 at 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.
>

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