[R-SIG-Finance] Copula Package

[Muteba Mwamba, John]

Hi all;
I'm having problem to build a multivariate distribution using copula and generalized Pareto distributions as marginals. When I use the following codes I receive an error message:
> gumbel.cop <- gumbelCopula(3, dim=3)
> myMvd <- mvdc(gumbel.cop, c("gpd","gpd","gpd"), list(list(shape=2,scale=1),list(shape=4,scale=2),list(shape=4,scale=5)))
> n=200
> data<-rmvdc(myMvd,n)
The error message that I receive is:
Error in eval(expr, envir, enclos) : could not find function "qgpd"
Can anyone help me to obtain this "qgpd" function in (copula package) so that this code works.
Thanks in advance
Kind Regards,
John

www.uj.ac.za

Mr John Muteba Mwamba
Lecturer
Department of Economics and Econometrics
Office: D-ring 218
Tel +27 11 559 4371
Fax +27 11 559 3039
Cell +27 82 088 7400
Email: johnmu at uj.ac.za
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