R help - Jan 2013 - Error with Expected Shortfall function, ES.

ES function gives the below error.
> ES(sim, p=.95,
method=c("modified"),portfolio_method=c("component"),
> weights=w1)
/Error in checkData(R, method = "xts", ...) : The data cannot be
converted
into a time series.  If you are trying to pass in names from a data object
with one column, you should use the form 'data[rows, columns, drop
FALSE]'.  Rownames should have standard date formats, such as
'1985-03-15'.
/

The problem, I believe, is when the function comes to building a time-series
of portfolio returns when multiplying matrix 'sim' with vector
'w1'.  I
think vector 'w1' may be posing the problem, but I do not know why.

***********************
Notes:
sim is a 1000*4 matrix

w1 is 4*1 column vector
**********************

As always, any pointers or expertise will be forever great-fully received!!!

kevj



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On 24.01.2013 13:33, kevj1980 wrote:
> ES function gives the below error.
>
>> ES(sim, p=.95,
method=c("modified"),portfolio_method=c("component"),
>> weights=w1)

We get:
Error: object 'ES' not found


Uwe Ligges

> /Error in checkData(R, method = "xts", ...) : The data cannot be
converted
> into a time series.  If you are trying to pass in names from a data object
> with one column, you should use the form 'data[rows, columns, drop >
FALSE]'.  Rownames should have standard date formats, such as
'1985-03-15'.
> /
>
> The problem, I believe, is when the function comes to building a
time-series
> of portfolio returns when multiplying matrix 'sim' with vector
'w1'.  I
> think vector 'w1' may be posing the problem, but I do not know why.
>
> ***********************
> Notes:
> sim is a 1000*4 matrix
>
> w1 is 4*1 column vector
> **********************
>
> As always, any pointers or expertise will be forever great-fully
received!!!
>
> kevj
>
>
>
> --
> View this message in context:
http://r.789695.n4.nabble.com/Error-with-Expected-Shortfall-function-ES-tp4656500.html
> Sent from the R help mailing list archive at Nabble.com.
>
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