I am trying to construct a multivariate Mixture Copula in R using the copula package.The goal is to model the dependency of a financial data set. This works perfectly fine whenever I do not have more than 6 assets. With more than 6, however, I get an error saying that the subscript is out of bounds. I did not find any hints in the function's documentation.
Here is a code sample:
library(copula)
mix.cop <- mixCopula(coplist = list(gumbelCopula(1.5, dim = 7), frankCopula(1.9, dim = 7))
The error I get is:
Error in pdfL[[i]] : subscript out of bounds
Is there any way to construct multivariate mixture copulas with dimensions larger than 6? Thanks in advance.