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Frank copula not implemented? #17

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jobstdavid opened this issue Dec 9, 2022 · 1 comment
Open

Frank copula not implemented? #17

jobstdavid opened this issue Dec 9, 2022 · 1 comment

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@jobstdavid
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jobstdavid commented Dec 9, 2022

You can find in the documentation of the function gamBiCopFit for the input parameter family: "A copula family: 1 Gaussian, 2 Student t, 5 Frank, ...".
However, if I run the following minimal example, I get the error message "Copula family not implemented. 'family' should be in {1,2,301,302,303,304,401,402,403,404}." This error message comes from the function msg.family which excludes the Frank copula (5).

`library(VineCopula)
library(gamCopula)

u <- BiCopSim(1000, family = 5, par = 3)
u <- as.data.frame(u)
colnames(u) <- c("u1", "u2")
cop <- gamBiCopFit(data = u,
family = 5)`

Is the documentation maybe not up to date, that the Frank (5) is not available? Is there a reason for excluding the Frank copula, e.g. poor performance?

@tnagler
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tnagler commented Dec 13, 2022

See #18. We can only use Newton-Raphson for the Frank, which is much slower normally. I don't think it's so bad to disable it entirely though.

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