Merge pull request #28 from wgurecky/scipy_mle_fix

Fix for MLE copula fit
wgurecky · Jul 18, 2020 · a900763 · a900763
2 parents ff9fd8f + c6a129c
commit a900763
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Showing 2 changed files with 4 additions and 4 deletions.
diff --git a/starvine/bvcopula/copula/copula_base.py b/starvine/bvcopula/copula/copula_base.py
@@ -184,7 +184,7 @@ def fitMLE(self, u, v, *theta0, **kwargs):
                      x0=params0,
                      bounds=kwargs.pop("bounds", self.thetaBounds),
                      tol=kwargs.pop("tol", 1e-8),
-                     method=kwargs.pop("method", 'SLSQP'))
+                     method=kwargs.pop("method", 'trust-constr'))
         if not res.success:
             # Fallback
             if "frank" in self.name:

diff --git a/starvine/bvcopula/copula/mvtdstpack/mvtdstpack.f b/starvine/bvcopula/copula/mvtdstpack/mvtdstpack.f
@@ -1329,7 +1329,7 @@ SUBROUTINE MVKBRV( NDIM, MINVLS, MAXVLS, NF, FUNSUB,
 *          estimated absolute accuracy ABSERR.
 ************************************************************************
       EXTERNAL FUNSUB
-      DOUBLE PRECISION ABSEPS, RELEPS, FINEST(*), ABSERR, ONE
+      DOUBLE PRECISION ABSEPS, RELEPS, FINEST(*), ABSERR(1), ONE
       INTEGER NDIM, NF, MINVLS, MAXVLS, INFORM, NP, PLIM, KLIM,
      &        NLIM, FLIM, SAMPLS, I, K, INTVLS, MINSMP, KMX
       PARAMETER ( PLIM = 28, NLIM = 1000, KLIM = 100, FLIM = 5000 )
@@ -1387,8 +1387,8 @@ SUBROUTINE MVKBRV( NDIM, MINVLS, MAXVLS, NF, FUNSUB,
          IF ( VARSQR(K) .GT. 0 ) VAREST(K) = ( 1 + VARPRD )/VARSQR(K)
          IF ( ABS(FINEST(K)) .GT. ABS(FINEST(KMX)) ) KMX = K
       END DO
-      ABSERR = 7*SQRT( VARSQR(KMX)/( 1 + VARPRD ) )/2
-      IF ( ABSERR .GT. MAX( ABSEPS, ABS(FINEST(KMX))*RELEPS ) ) THEN
+      ABSERR(1) = 7*SQRT( VARSQR(KMX)/( 1 + VARPRD ) )/2
+      IF ( ABSERR(1) .GT. MAX( ABSEPS, ABS(FINEST(KMX))*RELEPS ) ) THEN
          IF ( NP .LT. PLIM ) THEN
             NP = NP + 1
          ELSE