[R] Quantitative Risk Management by McNeil

spencerg
Tue, 07 Jul 2009 18:56:09 -0000

Dear Andriy:


      1.  The help file for  "fit.NH" says the first argument  should
be
a "vector of data".  Consider the following modification of the
example
on that help page:


 > rs <- matrix(rseries, 10, 202, dimnames=list(letters[1:10], 1:202))
 > rs. <- fit.NH(rs)
Error: cannot allocate vector of size 238 Kb
In addition: Warning messages:
1: In sqrt(3/(variance * ekurt)) : NaNs produced
2: In optim(par = theta, fn = negloglik, gr = NULL, datavector = data,  :
  Reached total allocation of 3583Mb: see help(memory.size)
3: In optim(par = theta, fn = negloglik, gr = NULL, datavector = data,  :
  Reached total allocation of 3583Mb: see help(memory.size)


      2.  This suggests you try the following:


fit.NH(as.numeric(Transpose), case="NIG", symmetric=FALSE, se=FALSE)


      3.  If this doesn't work, I suggest you look at
"str(Transpose)":
Is this "character"?



      4.  If this does not solve your problem, have you tried emailing
directly Scott Ulman <scottulman at hotmail.com> for  Alexander McNeil?


      5.  You could make it easier for others to reply to a question
like this by helping your readers find the "fit.NH" function.  I have
not seen "Quantitative Risk Management by McNeil", but it sounded
interesting, so I looked at your question.  I found "fit.NH" as
follows:


library(RSiteSearch)
fitNH <- RSiteSearch.function('fit.NH')
HTML(fitNH)


      This last line opened a web browser with links to 6 different help
pages in the "QRMlib" package.


      Hope this helps.
      Spencer Graves


Andriy Fetsun wrote:
> 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!
>
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