[R-SIG-Finance] Copula Package

[Christophe Dutang]

Hi,

The GPD is not part of the copula package. Please look at the task view on
distributions to know which package implements the GPD.

Christophe

2010/10/26 Muteba Mwamba, John <johnmu at uj.ac.za>

>   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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>
>
>
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-- 
Christophe DUTANG
Ph. D. student at ISFA, Lyon, France
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