Displaying 6 results from an estimated 6 matches for "sigma_d".
Did you mean:
sigma_j
2011 Oct 24
3
Create a matrix with increment and element with zero subscript
Hello,
Does anyone knows how to deal with zero subscript in R. I have this code:
for (i in 1:nitems){
+ for (j in 1:ncat-1) {
+ draw<-matrix(rnorm(nitems*(ncat-1),seed1,seed2),nitems,(ncat-1))
+ d<-( sigma_d*draw ) + mu_d
+ draw<-matrix(rtnorm((nitems*(ncat-1)),mean = seed1, sd = seed2, lower = .1, upper = 1.5),nitems,(ncat-1))
+ d<-(sigma_d*draw) + mu_d
+ write.matrix(cbind(b.i0,d), file = "F:/KU/MIRT group/MIMIC-DIF/R/cpprcode/b0d.dat", sep = " "...
2017 Nov 21
2
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
...s function, x, should be DAILY
returns, expressed in decimal.
Suppose he wanted to create random data from a distribution of returns with
ANNUAL mean MU_A and ANNUAL std deviation SIGMA_A, both stated in decimal.
The equivalent DAILY returns would have mean MU_D = MU_A / 252 and standard
deviation SIGMA_D = SIGMA_A/SQRT(252).
He calls MU_D by the name mu_base and SIGMA_D by the name sigma_base.
His loop now converts the random numbers in his matrix so that each column
has mean MU_D and std deviation SIGMA_D.
HTH,
Eric
On Tue, Nov 21, 2017 at 2:33 PM, Eric Berger <ericjberger at gmail.com...
2017 Nov 21
0
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
...; returns, expressed in decimal.
>
> Suppose he wanted to create random data from a distribution of returns
> with ANNUAL mean MU_A and ANNUAL std deviation SIGMA_A, both stated in
> decimal.
> The equivalent DAILY returns would have mean MU_D = MU_A / 252 and
> standard deviation SIGMA_D = SIGMA_A/SQRT(252).
>
> He calls MU_D by the name mu_base and SIGMA_D by the name sigma_base.
>
> His loop now converts the random numbers in his matrix so that each column
> has mean MU_D and std deviation SIGMA_D.
>
> HTH,
> Eric
>
>
>
> On Tue, Nov 21, 201...
2017 Nov 21
1
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
...LY returns, expressed in decimal.
>>
>> Suppose he wanted to create random data from a distribution of returns with ANNUAL mean MU_A and ANNUAL std deviation SIGMA_A, both stated in decimal.
>> The equivalent DAILY returns would have mean MU_D = MU_A / 252 and standard deviation SIGMA_D = SIGMA_A/SQRT(252).
>>
>> He calls MU_D by the name mu_base and SIGMA_D by the name sigma_base.
>>
>> His loop now converts the random numbers in his matrix so that each column has mean MU_D and std deviation SIGMA_D.
>>
>> HTH,
>> Eric
>>
>...
2017 Nov 21
0
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
Hi Joe,
The centering and re-scaling is done for the purposes of his example, and
also to be consistent with his definition of the sharpe function.
In particular, note that the sharpe function has the rf (riskfree)
parameter with a default value of .03/252 i.e. an ANNUAL 3% rate converted
to a DAILY rate, expressed in decimal.
That means that the other argument to this function, x, should be DAILY
2017 Nov 21
2
Do I need to transform backtest returns before using pbo (probability of backtest overfitting) package functions?
Wrong list.
Post on r-sig-finance instead.
Cheers,
Bert
On Nov 20, 2017 11:25 PM, "Joe O" <joerodonnell at gmail.com> wrote:
Hello,
I'm trying to understand how to use the pbo package by looking at a
vignette. I'm curious about a part of the vignette that creates simulated
returns data. The package author transforms his simulated returns in a way
that I'm