search for: trapletti

...lt;- as.matrix(tseries) else ts.orig <- tseries n <- nrow(ts.orig) - class(ts.orig) <- tscl[(tscl!="cts")&(tscl != "rts")] +# class(ts.orig) <- tscl[(tscl!="cts")&(tscl != "rts")] + class(ts.orig) <- tscl # change, A.Trapletti if ((sim=="model") || (sim=="scramble")) l <- NULL else if ((is.null(l) || (l <= 0) || (l > n))) stop("Invalid value of l") st <- start(tseries) freq <- frequency(tseries) - un <- units(tseries) - k.un <- attr(tseries, "tspar&quo...

...lt;- as.matrix(tseries) else ts.orig <- tseries n <- nrow(ts.orig) - class(ts.orig) <- tscl[(tscl!="cts")&(tscl != "rts")] +# class(ts.orig) <- tscl[(tscl!="cts")&(tscl != "rts")] + class(ts.orig) <- tscl # change, A.Trapletti if ((sim=="model") || (sim=="scramble")) l <- NULL else if ((is.null(l) || (l <= 0) || (l > n))) stop("Invalid value of l") st <- start(tseries) freq <- frequency(tseries) - un <- units(tseries) - k.un <- attr(tseries, "tspar&quo...

Ok I made Jarque-Bera test to the residuals (merv.reg$residual) library(tseries) jarque.bera.test(merv.reg$residual) X-squared = 1772.369, df = 2, p-value = < 2.2e-16 And I reject the null hypotesis (H0: merv.reg$residual are normally distributed) So I know that: 1 - merv.reg$residual aren't independently distributed (Box-Ljung test) 2 - merv.reg$residual aren't indentically

-------- Original Message -------- Subject: [R] Re: tseries Package for R Date: Mon, 27 Sep 2004 23:56:34 -0800 From: Martin Renner <martin.renner at stonebow.otago.ac.nz> To: Adrian Trapletti <a.trapletti at bluewin.ch> References: <61CBB4C9-10C7-11D9-A624-000D932E990C at comcast.net> <4158F5B6.3020103 at bluewin.ch> see http://cran.stat.ucla.edu/bin/macosx/ and http://cran.stat.ucla.edu/bin/macosx/RMacOSX-FAQ.html (or your nearest cran-mirror). The gui allows y...

Thanks a lot for "tseries"! The new (0.1-2) version of the tseries package contains the following in ./README : >> Author(s): A. Trapletti <A.Trapletti@ci.tuwien.ac.at>, >> B. LeBaron ("./src/bdstest.c"), >> K. Krischer, and T. M. Kruel ("./src/muin2ser.f", >> "./misc/mutinfo-1.21b.tar.gz") >> License: "./src/muin2ser.f", "./misc/muti...

Dear All, Are there any plans around that "R CMD INSTALL some_package_containing_java_source code" supports Java source code compiling in future versions of R similar to compiling C/C++ and/or Fortran sources in the src directory? Best regards Adrian -- Dr. Adrian Trapletti Steinstrasse 9b CH-8610 Uster Switzerland Phone : +41 (0) 44 9945630 Mobile : +41 (0) 79 1037131 Email : adrian at trapletti.org WWW : www.trapletti.org

...plement a simulate.garch() and to extend predict.garch() for multi-step forecasts. For those who like to play with stock market data, get.hist.quote() allows to download yahoo-finance data directly over the www into R time series. Testing, suggestions, and comments are welcome! Adrian -- Adrian Trapletti, Vienna University of Economics and Business Administration, Augasse 2-6, A-1090 Vienna, Austria Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708, Email: adrian.trapletti@wu-wien.ac.at -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-devel mailing list -- Read htt...

...plement a simulate.garch() and to extend predict.garch() for multi-step forecasts. For those who like to play with stock market data, get.hist.quote() allows to download yahoo-finance data directly over the www into R time series. Testing, suggestions, and comments are welcome! Adrian -- Adrian Trapletti, Vienna University of Economics and Business Administration, Augasse 2-6, A-1090 Vienna, Austria Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708, Email: adrian.trapletti@wu-wien.ac.at -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-devel mailing list -- Read htt...

Hi I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero. I don't think any of the standard R

Hi I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero. I don't think any of the standard R

For Windows users, some instructions how to use R 4.0.0 with Intel MKL: https://linkedin.com/pulse/r-400-intel-mkl-windows-adrian-trapletti Best Regards Adrian Adrian Trapletti Steinstrasse 9b, 8610 Uster, Switzerland P +41 44 994 56 30 | M +41 79 103 71 31 adrian at trapletti.org | www.trapletti.org

For Windows users, some instructions how to use R 4.0.0 with Intel MKL: https://linkedin.com/pulse/r-400-intel-mkl-windows-adrian-trapletti Best Regards Adrian Adrian Trapletti Steinstrasse 9b, 8610 Uster, Switzerland P +41 44 994 56 30 | M +41 79 103 71 31 adrian at trapletti.org | www.trapletti.org

...quot;. It provides some basic functionality such as reading and writing irregular time series from files, or plotting, printing, subscripting, and interpolating irregular time series. This is a first version of the class "irts" and I very much welcome feedback. best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland...

R-guRus , ARMA function in tseries, seems to be calculating the AR coeff 's as coef <- lm(xx[,1]~xx[,lag$ar+1])$coef [*snipped* from around line 77,] I'd like to modify this model with another term somewhat in these lines lm(xx[,1] ~xx[,lag$ar+1]+mvgsignal)$coef where mvgsignal is a moving average signal based on some indicators, the question is could i simply hack into

Dear R People: I have a weekly time series. How do I put this into the ts command, please? That is, what do I use for frequency, please? R version 1.5.1 for Windows. Thanks in advance. Sincerely, Erin mailto: hodgess at uhddx01.dt.uh.edu -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html

Hi,I try to calcualte AIC or Loglik to GARCH model,But the Packege Tseries do not deal with them.How can I calculate AIC or Loglike to GARCH Model By Packege Tseries? Thanks. ____________________________________________________ Free Internet Access NOW! In Alexandria, Ismaileya, Suez, Portsaid, Hurgadha, Sharm Banha, Shebin El-Kom, Damietta, Tanta, Zagazig, Mansoura, Damanhour, Assyout, Qena

...= 0.1 and get slightly better errors (see below). > So, when it calls dsumsl, the errors above are produced. I have checked > str(.Machine) and the definitions are all there. > > What should I do to get garch to run? Use the newest version of tseries 0.9-7. best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland...

...nce the number of "independent observations" is considerably smaller than 100. Therefore asymptotic theory might be a bad approximation and small sample effects might lead to severe size distortions. Maybe someone can explain more formally whats going on here? best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland...

Dear all, Can garch function fit also t-innovations or only Gaussian innovations? -- With kind regards -- Lepo pozdravljeni -- Gr??e (Gr?ezi) -- Gorazd Brumen ------------------------------- Mail 1: gbrumen at student.ethz.ch Mail 2: gorazd.brumen at fmf.uni-lj.si Tel.: +41 (0)1 63 34906 Homepage: valjhun.fmf.uni-lj.si/~brumen

...quot;. It provides some basic functionality such as reading and writing irregular time series from files, or plotting, printing, subscripting, and interpolating irregular time series. This is a first version of the class "irts" and I very much welcome feedback. best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland...