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2010 Jan 25
1
locfit questions/problems
...code in Loader's
LOCAL REGRESSION AND LIKELIHOOD, and have run into a problem
with the code for one sided smoothing and change point analysis
(p. 110-112).
The code, after loading locfit:
midp<-(1945:1988)+0.5
fitl<-locfit(thickness~left(year), data=penny, alpha=c(0,10), deg=1, ev=midp)
fitr<-locfit(thickness~right(year),data=penny, alpha=c(0,10), deg=1, ev=midp)
plot((preplot(fitr)-preplot(fitl))^2, type="b")
the error message crops up after the plot command and is:
Error in preplot(fitr) - preplot(fitl) :
non-numeric argument to binary operator
looking at preplot(fi...
1999 Aug 23
0
smcp.shar (was linking object files)
...The methods can be implemented with locfit, using left and right smooths.
This example uses the penny thickness data (from Scott, Multivariate Density
Estimation, p234,276):
> midp <- (1945:1988)+0.5
> fitl <- locfit(thickness~left(year), data=penny,alpha=c(0,10),deg=1,ev=midp)
> fitr <- locfit(thickness~right(year),data=penny,alpha=c(0,10),deg=1,ev=midp)
To plot Delta-hat(t)^2 in S+ 5.0,
> plot((preplot(fitr)-preplot(fitl))^2, type="b")
In R, that would have to be
> pr <- knots(fitr,what="coef")
> pl <- knots(fitl,what="coef")...
2011 May 04
1
fGarch
...l without success.
### ARIMA-GARCH model with regressor ###
### Time series data: A multivariate data set.
cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])]
cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))
### The following R scripts work:
(summary(no.day.fitr <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day)))
(summary(no.day.fitr2 <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day,
include.mean=FALSE)))
### ERROR: I add in the regressor "day".
(summary(no.day.fitr3 <- garchFit(dq ~ day + arma(0,3) + garch(1,1), da...