search for: cornish

Helloo, i have measure VaR with time dependen volatility (GARCH) and now want to measure expected shortfall (ES) using cornish fisher expansion (cause non-normal distribution), but i have limitedness about using R. Could you help me, how measure that ES with cornish fisher expansion using R.... i really need your help. thank you for the attention. Regards Eko [[alternative HTML version deleted]]

...ub.com/r-devel/r-svn/pull/11): diff --git a/src/nmath/qnbinom.c b/src/nmath/qnbinom.c index b313ce56b2..d2e8d98759 100644 --- a/src/nmath/qnbinom.c +++ b/src/nmath/qnbinom.c @@ -104,6 +104,7 @@ double qnbinom(double p, double size, double prob, int lower_tail, int log_p) /* y := approx.value (Cornish-Fisher expansion) : */ z = qnorm(p, 0., 1., /*lower_tail*/TRUE, /*log_p*/FALSE); y = R_forceint(mu + sigma * (z + gamma * (z*z - 1) / 6)); + y = fmax2(0.0, y); z = pnbinom(y, size, prob, /*lower_tail*/TRUE, /*log_p*/FALSE); I used the https://github.com/r-devel/r-svn repo and i...

Hi Martin, thanks for verifying. I agree that the Cornish-Fisher seems to struggle with the small size parameters, but I also don't have a good idea how to replace it. But I think fixing do_search() is possible: I think the problem is that when searching to the left y is decremented only if `pnbinom(y - incr, n, pr, /*l._t.*/TRUE, /*log_p*/FALSE)) &...

...nmath/qnbinom.c b/src/nmath/qnbinom.c > index b313ce56b2..d2e8d98759 100644 > --- a/src/nmath/qnbinom.c > +++ b/src/nmath/qnbinom.c > @@ -104,6 +104,7 @@ double qnbinom(double p, double size, double prob, > int lower_tail, int log_p) > /* y := approx.value (Cornish-Fisher expansion) : */ > z = qnorm(p, 0., 1., /*lower_tail*/TRUE, /*log_p*/FALSE); > y = R_forceint(mu + sigma * (z + gamma * (z*z - 1) / 6)); > + y = fmax2(0.0, y); > z = pnbinom(y, size, prob, /*lower_tail*/TRUE, /*log_p*/FALSE); > I used the https://githu...

Full_Name: Mikael Weigelt Version: 2.0 OS: windows Submission from: (NULL) (207.171.180.101) The calculation of the qpois attempts to use the Cornish-Fisher expansion as a starting approximation. The definition of the expansion is incorrect. However, since this approximation just gives an initial solution, the end result of the function is still correct. To fix the approximation, in the snippet below the line gamma = sigma; should be rep...

Good day all I'm in South-Africa,currently we are using openline4 cards for our pbx systems.Now we first need approval on the cards form icasa(a government standards) before we can use the card.The market here is very big for a system like asterisk.The only problem is to get a card approved(for a small company like us) its just about impossible. Now what I'm looking for is a company that

...513 3565497 3555138 3565162 3555001 3565139 3555886 3565796 3556647 ... $ comm : int 451 57 560 40 560 39 560 40 560 46 ... $ case : num 7.70e+09 1.00e+12 3.00e+12 1.00e+12 1.11e+09 ... $ desc : chr "PGPR RTC BONELESS WINGS" "GRTN POT CRNCH FISH FILET" "TYSON CORNISH HENS TWN PK" "GGNT RSTD POT GRLC HERB" ... $ height.x: num 7.2 12.6 11 7.8 6.8 10.1 11.2 10 11 10.5 ... $ length : num 14.5 15.8 20 15.6 22.2 15 20.2 15 17 19.8 ... $ weight : num 11 16.3 39 11 35.6 6.5 36 4 30 12.5 ... $ width : num 9.7 9.2 14.3 8 15.2 7.5 13.2 8.5 13 10...

n_10;p_0.5;jjx_0:n;qbinom(pbinom(jjx,n,p),n,p) # This one works as expected n_100;p_0.5;jjx_0:n;qbinom(pbinom(jjx,n,p),n,p) # This one causes severe problems I cannot interrupt using ESC and I finally have to resort to the Windows Task manager to kill the R session. A friend of mine told me that he faced similar problems under Unix. --please do not edit the information below-- Version:

...me = "", stringsAsFactors = FALSE) : arguments imply differing number of rows: 0, 1 Here is what Font Book has to say about the font: Garamond Garamond PostScript name Garamond Full name Garamond Family Garamond Style Regular Kind TrueType Language Afrikaans, Albanian, Basque, Cornish, Danish, Dutch, English, Faroese, French, Galician, German, Icelandic, Indonesian, Irish, Italian, Malay, Manx, Norwegian Bokmål, Norwegian Nynorsk, Oromo, Portuguese, Somali, Spanish, Swahili, Swedish, Swiss German, Zulu Script Latin Version Version 2.35 Location /Users/kw/Library/Fonts/Garamon...

...= ed to work for=20 non integral degrees of freedom so making it work one degree of freedom via= =20 pcauchy is hardly much use. qnbinom(1e-10,1e3,1e-7,TRUE,FALSE) is slow and by varying the parameters,= =20 qnbinom can be made very slow indeed. I do not think there is anything wron= g with=20 the Cornish-Fisher expansion. It just seems that it is not always very good= =20 for the Negative Binomial distribution. In the example above, the initial= =20 approximation is out by 2e6. A slightly different problem which can cause qnbinom and qbinom to go into= =20 infinite loops is when the q-value is too...

...lspl: Add Welsh resource. oleaut32: Add Welsh resource. kernel32: Update Gaelic resource. mapi32: Add Welsh resource. msrle32: Add Welsh resource. view: Add Welsh resource. uninstaller: Add Welsh resource. devenum: Add Welsh resource. kernel32: Update Cornish resource. kernel32: Update Welsh resource. mapi32: Add Gaelic resource. Ken Thomases (1): ntdll: Fix set_baud_rate for high rates for non-Linux (bad copy/paste). Louis Lenders (4): xinput1_3: Quiet a noisy fixme. include: Add EnumDisplaySettingsEx flags. includ...

Hi all, I recently noticed that `qnbinom()` can take a long time to calculate a result if the `size` argument is very small. For example qnbinom(0.5, mu = 3, size = 1e-10) takes ~30 seconds on my computer. I used gdb to step through the qnbinom.c implementation and noticed that in line 106 (https://github.com/wch/r-source/blob/f8d4d7d48051860cc695b99db9be9cf439aee743/src/nmath/qnbinom.c#L106)