[R] Quantitative Risk Management by McNeil

Andriy Fetsun
Thu, 02 Jul 2009 19:15:14 -0000

Dear Specialists in R,

May be somebody has experiment in using pakage for the book Quantitative
Risk Management by McNeil?

This package is writen in R.

I have run this package for fitting the data to Nornal Inverse Gaussian
distribution and fased with following problem.

> Return<-read.csv("data.csv")
> Transpose<-t(Return)
> fit.NH(Transpose, case="NIG", symmetric=FALSE, se=FALSE)
Error: cannot allocate vector of size 57 Kb
In addition: Warning messages:
1: In var.default(data) :
  Reached total allocation of 222Mb: see help(memory.size)
2: In optim(par = theta, fn = negloglik, gr = NULL, datavector = data,  :
  Reached total allocation of 222Mb: see help(memory.size)
3: In optim(par = theta, fn = negloglik, gr = NULL, datavector = data,  :
  Reached total allocation of 222Mb: see help(memory.size)

In the attachment you can find the description of the function.

the link where I took this soft is
http://cran.r-project.org/web/packages/QRMlib/index.html

Thank you in advance!
--
Best regards,

Andy