Hi,<br><br>The GPD is not part of the copula package. Please look at the task view on distributions to know which package implements the GPD.<br><br>Christophe<br><br><div class="gmail_quote">2010/10/26 Muteba Mwamba, John <span dir="ltr"><<a href="mailto:johnmu@uj.ac.za">johnmu@uj.ac.za</a>></span><br>

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<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">Hi all;</span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">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:</span></p>


<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">> gumbel.cop <- gumbelCopula(3, dim=3)</span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">> myMvd <- mvdc(gumbel.cop, c("gpd","gpd","gpd"), list(list(shape=2,scale=1),list(shape=4,scale=2),list(shape=4,scale=5)))
</span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">> n=200
</span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">> data<-rmvdc(myMvd,n)</span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">The error message that I receive is:</span></p>
<p class="MsoNormal"><b><span style="font-family: "Garamond","serif"; color: windowtext;">Error in eval(expr, envir, enclos) : could not find function "qgpd"
</span></b></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">Can anyone help me to obtain this “qgpd” function in (copula package) so that this code works.</span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">Thanks in advance</span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">Kind Regards,
</span><span style="font-family: "Garamond","serif"; color: windowtext;"></span></p>
<p class="MsoNormal"><span style="font-family: "Garamond","serif"; color: windowtext;">John
</span><span style="font-family: "Garamond","serif"; color: windowtext;"> </span><span style="font-family: "Garamond","serif"; color: windowtext;"><br>
<br>
</span><b><span style="font-family: "Garamond","serif"; color: rgb(217, 89, 0);"><a href="http://www.uj.ac.za" target="_blank">www.uj.ac.za</a></span></b><span style="font-family: "Garamond","serif"; color: windowtext;"><br>


<br>
</span><span style="font-family: "Garamond","serif"; color: windowtext;">Mr John Muteba Mwamba</span><span style="font-family: "Garamond","serif"; color: windowtext;"><br>
</span><span style="font-family: "Garamond","serif"; color: rgb(217, 89, 0);">Lecturer</span><span style="font-family: "Garamond","serif"; color: windowtext;"><br>
</span><span style="font-family: "Garamond","serif"; color: windowtext;">Department of Economics and Econometrics</span><span style="font-family: "Garamond","serif"; color: windowtext;"></span></p>


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</span><span style="font-family: "Garamond","serif"; color: windowtext;"><br>
</span><span style="font-family: "Garamond","serif"; color: windowtext;">Tel +27 11 559 4371
</span><span style="font-family: "Garamond","serif"; color: windowtext;"><br>
</span><span style="font-family: "Garamond","serif"; color: windowtext;">Fax +27 11 559 3039
</span><span style="font-family: "Garamond","serif"; color: windowtext;"><br>
</span><span style="font-family: "Garamond","serif"; color: windowtext;">Cell +27 82 088 7400</span><span style="font-family: "Garamond","serif"; color: windowtext;"><br>
</span><span style="font-family: "Garamond","serif"; color: windowtext;">Email: <a href="mailto:johnmu@uj.ac.za" target="_blank">johnmu@uj.ac.za</a></span><span style="font-size: 11pt; color: windowtext;"></span></p>


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