fit.gausscopula function

Dear Xiaochen,

I think that there are conflicting versions of packages on your machine, as
the R code you provide works well on two of my machines, with R 2.5 and
QRMlib v2.5.1. 

You should update all your R packages by using the "update packages" menu.

Regards.

---
Sylvain Barth?l?my
Research Director, TAC
www.tac-financial.com | www.sylbarth.com

-----Message d'origine-----
De?: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de Xiaochen Sun
Envoy??: mardi 21 ao?t 2007 11:15
??: r-sig-finance at stat.math.ethz.ch
Objet?: [R-SIG-Finance] fit.gausscopula function

I do not know why, fit.gausscopula( ) function in QRMlib doesn't work.....
 
If you run the example code in help file, Here is the message I've got:

data(ftse100);
data(smi);
TS1 <- cut(ftse100, "1990-11-08", "2004-03-25");
TS1Augment <- alignDailySeries(TS1, method="before");
TS2Augment <- alignDailySeries(smi, method="before");
INDEXES.RAW <- merge(TS1Augment,TS2Augment);
#Cleanup:
rm(TS1, TS1Augment, TS2Augment);
INDEXES <- mk.returns(INDEXES.RAW);
PARTIALINDEXES <- cut(INDEXES, "1993-12-31", "2003-12-31");
#Now create a data matrix from the just-created timeSeries 
data <- seriesData(PARTIALINDEXES);
#Keep only the data items which are non-zero for both smi and ftse100
data <- data[data[,1]!=0 & data[,2] !=0,];
# Construct pseudo copula data. The 2nd parameter is MARGIN=2 
#when applying to columns and 1 applied to rows. Hence this says to
#apply the 'edf()' empirical distribtion function() to the columns
#of the data. 
Udata <- apply(data,2,edf,adjust=1);
mod.gauss <- fit.gausscopula(Udata); 

Error in dmnorm(Qdata, rep(0, d), P, logvalue = TRUE) : 
        unused argument(s) (logvalue = TRUE)

However it did work once:
X3X2 <- cbind(x3,x2)
U3U2 <- apply(X3X2,2,edf,adjust=1)
mod.gaussU3U2 <- fit.gausscopula(U3U2)
mod.gaussU3U2

mod.gaussU3U2[1]

$P
          [,1]      [,2]
[1,] 1.0000000 0.2770152
[2,] 0.2770152 1.0000000
I can not figure out:(((( 
 
Could anyone tell me why?
 
Cheers
Mc

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