gistfile1.txt

library(copula) 

# 5 series of data consist of 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]