search for: ghyp

I was playing around with the ghyp package and simulated series of t-distributed variables when suddenly i was not able to reproduce the log likelihood values reported by the package. When trying to reproduce the likelihood values, I summed the log(dt(x,v)) values and it worked with some simulated series but not all. Is there any...

Sir, I am working on fitting distribution on multivariate financial data and then simulate observations from that fitted distribution. I use stepAIC.ghyp() function of 'ghyp' library which select the best fitted distribution from generalized hyperbolic distribution class on the given dataset. data(indices) # Multivariate case: aic.mv <- stepAIC.ghyp(indices, dist = c("ghyp", "hyp", "t", "gauss&quot...

Dear R-users I would like to integrate something like \int_k^\infty (1 - F(x)) dx, where F(.) is a cumulative distribution function. As mentioned in the "integrate" help-page: integrate(dnorm,0,20000) ## fails on many systems. This does not happen for an adaptive Simpson or Lobatto quadrature (cf. Matlab). Even though I am hardly familiar with numerical integration the implementation

Hi guys, does anyone know if there is the possibility to fit a gamma distribution using ugarch?honestly i don't know if maybe is possible to fix some parameters that reduce ghyp or ged in a gamma distribution.. thanks a lot sara -- View this message in context: http://r.789695.n4.nabble.com/gamma-distribution-in-rugarch-package-tp4637893.html Sent from the R help mailing list archive at Nabble.com.

...theldaplus, betasigmaplus in my code. After getting use these value , then my iteration have to be begin of this code. But I can not to do iteration part. Can you help me use my code and get iteration ? Do know any useful code for EM algorithm for Generalized Hyperbolic library(QRMlib) library(ghyp) ############ simulation part simulation<-function(n,lambda,mu,thelda,gamma,sigma,beta){ set.seed(235) chi<-thelda^2 psi<-gamma^2 W <- rGIG(n, lambda, chi, psi); Z <- rnorm(n,0,1); y<-mu + beta * W + sqrt(W) * Z *gamma; for (i in 1:n){ theldastar<-rep(0,n) zi<...

How to use the package generalized hyperbolic distribution in order to estimate the four parameters in the NIG-distribution? I have a data material with stock returns that I want to fit the parameters to. -- View this message in context: http://r.789695.n4.nabble.com/Generalized-Hyperbolic-distribution-tp3504369p3504369.html Sent from the R help mailing list archive at Nabble.com.

Folks, I'm kind of newbie in R, but with some background in Matlab and VBA programming. Last month I was implementing a Maximum Likelihood Estimation in Matlab, but the algorithms didn't converge. So my academic advisor suggested using R. My problem is: estimate a mean reverting jump diffusion parameters. I've succeeded in deriving the likelihood function (which looks like a gaussian

I'm in the process of converting some S3 methods to S4 methods. I have this function : setGeneric("enrichmentCalc", function(rs, organism, seqLen, ...){standardGeneric("enrichmentCalc")}) setMethod("enrichmentCalc", c("GenomeDataList", "BSgenome"), function(rs, organism, seqLen, ...) { ... ... ... })

...), gamlss.cens (4.0.0), gamlss.data (4.0-0), gamlss.dist (4.0-0), gamlss.mx (4.0-0), gamlss.nl (4.0-0), gamlss.tr (4.0-0), gamlss.util (4.0-0), gap (1.0-23), gbm (1.6-3.1), gclus (1.3), gdata (2.8.0), geoR (1.6-28), geoRglm (0.8-28), geosphere (1.2-4), geozoo (0.4.1), GExMap (1.1), ggplot2 (0.8.8), ghyp (1.5.3), glmnet (1.4), gmm (1.3-2), gplots (2.8.0), gputools (0.21), gRain (0.8.5), grImport (0.6-1), gss (1.1-5), gsubfn (0.5-3), gtools (2.6.2), gWidgets (0.0-41), gWidgetsRGtk2 (0.0-67), gWidgetsrJava (0.0-19), gWidgetstcltk (0.0-38), gWidgetsWWW (0.0-19), hapassoc (1.2-4), hash (2.0.1), hergm (...