Hi, my name is Woo Young Kang and I am a current user of R-programming.
I am looking for an R-programming online questioning community and was having
difficulty finding it.
I wonder what webaddress I can use to ask question regarding the R-programming.
Before that, I do have one critical question that I would like to ask regarding
the R-programming.
I am trying to make about 10 lines of MATLAB code into the equivalent
R-programming code.
The backgroud for this is to produce initial parameters for the
Cox-Ross-Ingersoll short rate model using the
OLS method.
I found out the MATLAB code for OLS initial parameter estimation for the CIR
interest rate model from
one of the literature but have a bit difficulty in understanding 100% of the
code since I was trying to convert
this code in terms of R-programming code.
The code itself is as follows:
% Initial parameters using OLS
Nobs = length(Model.Data);
x = Model.Data(1:end-1);
dx = diff(Model.Data);
dx = dx./x.^0.5;
regressors = [Model.TimeStep./x.^0.5, Model.TimeStep*x.^0.5];
drift = regressors\dx;
res = regressors*drift - dx;
alpha = -drift(2);
mu = -drift(1)/drift(2);
sigma = sqrt(var(res, 1)/Model.TimeStep);
InitialParams = [alpha mu sigma];
if ~isfield(Model, 'Disp'), Model.Disp = 'y'; end;
if strcmp(Model.Disp, 'y')
fprintf('\n initial alpha = %+3.6f\n initial mu = %+3.6f\n
initial sigma = %+3.6f\n', alpha, mu, sigma);
end
% where
%Model.Data = Time series of interest rates observations
% Model.TimeStep = Delta t; recommended: 1/250 for daily data, 1/12 for
monthly data
I am attaching also the source of this code to this email as well which is one
of the literature that I found recently.
The relavent source in the literature for your reference is in the section 2.2.
initial estimates.
Since my main purpose of this is to convert this into the R-programming code,
it would be great if I could know the equivalent R-programming code for this
MATLAB code,
and also the online R-programming questioning website address as well.
Thank you very much!
Sincerely,
Woo Young Kang
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You might consider reading
http://cran.r-project.org/doc/contrib/Hiebeler-matlabR.pdf. I strongly recommend
reading the Introduction to R document that comes with the R software.
As to where to ask questions, this mailing list is fine as long as you follow
the Posting Guide recommendations (see the bottom of this email) and stay on
topic (Matlab is off topic, R is on-topic). Note that most attachments are
stripped by the mailing list.. you are expected to communicate in plain text.
Some people prefer the website experience... you might try
http://stackoverflow.com/questions/tagged/r for that.
---------------------------------------------------------------------------
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---------------------------------------------------------------------------
Sent from my phone. Please excuse my brevity.
On February 12, 2014 1:09:33 PM PST, Woo Young Kang <erickwy at
hotmail.com> wrote:>
>
>Hi, my name is Woo Young Kang and I am a current user of R-programming.
>
>I am looking for an R-programming online questioning community and was
>having difficulty finding it.
>
>I wonder what webaddress I can use to ask question regarding the
>R-programming.
>
>Before that, I do have one critical question that I would like to ask
>regarding the R-programming.
>
>I am trying to make about 10 lines of MATLAB code into the equivalent
>R-programming code.
>
>The backgroud for this is to produce initial parameters for the
>Cox-Ross-Ingersoll short rate model using the
>
>OLS method.
>
>I found out the MATLAB code for OLS initial parameter estimation for
>the CIR interest rate model from
>
>one of the literature but have a bit difficulty in understanding 100%
>of the code since I was trying to convert
>
>this code in terms of R-programming code.
>
>The code itself is as follows:
>
>% Initial parameters using OLS
> Nobs = length(Model.Data);
> x = Model.Data(1:end-1);
> dx = diff(Model.Data);
> dx = dx./x.^0.5;
> regressors = [Model.TimeStep./x.^0.5, Model.TimeStep*x.^0.5];
> drift = regressors\dx;
> res = regressors*drift - dx;
> alpha = -drift(2);
> mu = -drift(1)/drift(2);
> sigma = sqrt(var(res, 1)/Model.TimeStep);
> InitialParams = [alpha mu sigma];
> if ~isfield(Model, 'Disp'), Model.Disp = 'y'; end;
> if strcmp(Model.Disp, 'y')
>fprintf('\n initial alpha = %+3.6f\n initial mu = %+3.6f\n initial
>sigma = %+3.6f\n', alpha, mu, sigma);
> end
>
>% where
>%Model.Data = Time series of interest rates observations
>% Model.TimeStep = Delta t; recommended: 1/250 for daily data, 1/12
>for monthly data
>
>I am attaching also the source of this code to this email as well which
>is one of the literature that I found recently.
>
>The relavent source in the literature for your reference is in the
>section 2.2. initial estimates.
>
>Since my main purpose of this is to convert this into the R-programming
>code,
>
>it would be great if I could know the equivalent R-programming code for
>this MATLAB code,
>
>and also the online R-programming questioning website address as well.
>
>
>Thank you very much!
>
>
>Sincerely,
>Woo Young Kang
>
>
>
>
>
>
>
>
>------------------------------------------------------------------------
>
>______________________________________________
>R-help at r-project.org mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide
>http://www.R-project.org/posting-guide.html
>and provide commented, minimal, self-contained, reproducible code.
You may find http://stackoverflow.com/ to be a useful website to ask R questions. Kevin On Wed, Feb 12, 2014 at 3:09 PM, Woo Young Kang <erickwy@hotmail.com> wrote:> > > Hi, my name is Woo Young Kang and I am a current user of R-programming. > > I am looking for an R-programming online questioning community and was > having difficulty finding it. > > I wonder what webaddress I can use to ask question regarding the > R-programming. > > Before that, I do have one critical question that I would like to ask > regarding the R-programming. > > I am trying to make about 10 lines of MATLAB code into the equivalent > R-programming code. > > The backgroud for this is to produce initial parameters for the > Cox-Ross-Ingersoll short rate model using the > > OLS method. > > I found out the MATLAB code for OLS initial parameter estimation for the > CIR interest rate model from > > one of the literature but have a bit difficulty in understanding 100% of > the code since I was trying to convert > > this code in terms of R-programming code. > > The code itself is as follows: > > % Initial parameters using OLS > Nobs = length(Model.Data); > x = Model.Data(1:end-1); > dx = diff(Model.Data); > dx = dx./x.^0.5; > regressors = [Model.TimeStep./x.^0.5, Model.TimeStep*x.^0.5]; > drift = regressors\dx; > res = regressors*drift - dx; > alpha = -drift(2); > mu = -drift(1)/drift(2); > sigma = sqrt(var(res, 1)/Model.TimeStep); > InitialParams = [alpha mu sigma]; > if ~isfield(Model, 'Disp'), Model.Disp = 'y'; end; > if strcmp(Model.Disp, 'y') > fprintf('\n initial alpha = %+3.6f\n initial mu = %+3.6f\n > initial sigma = %+3.6f\n', alpha, mu, sigma); > end > > % where > %Model.Data = Time series of interest rates observations > % Model.TimeStep = Delta t; recommended: 1/250 for daily data, 1/12 for > monthly data > > I am attaching also the source of this code to this email as well which is > one of the literature that I found recently. > > The relavent source in the literature for your reference is in the section > 2.2. initial estimates. > > Since my main purpose of this is to convert this into the R-programming > code, > > it would be great if I could know the equivalent R-programming code for > this MATLAB code, > > and also the online R-programming questioning website address as well. > > > Thank you very much! > > > Sincerely, > Woo Young Kang > > > > > > > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > >-- Kevin Wright [[alternative HTML version deleted]]