similar to: Generalized Hyperbolic distribution

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 =

I created a EM algorithm for Generalized hyperbolic distribution. I want to estimate mutheldaplus, sigmatheldaplus, 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)

Hi, I want to fit a standardized generalized hyperbolic distribution to my data. I am aware, that I can do this with the dsgh command of the fBasics package along with the optim command. My problem is, that I also want to have a derivation of it. So I need the theory behind it, i.e. I need the formula of the probability density function which they use and the derivation of it. I thought about

Hi, I want to fit standardized generalized hyperbolic distribution to my data. I am aware, that I can do this with the dsgh command of the fBasics package along with the optim command. My problem is, that I also want to have a derivation of it. So I need the theory behind it, i.e. I need the formula of the probability density function which they use and the derivation of it. I thought about

Dear all, We seem to have found a "strange" behaviour in the hyperbolic tangent function tanh on Windows. When running tanh(356 + 0i) the Windows result is NaN + 0.i while on Mac the result is 1 + 0i. It doesn't seem to be a floating point error because on Mac it is possible to run arbitrarily large numbers (say tanh(

>>>>> Rodrigo Zepeda <rzepeda17 at gmail.com> >>>>> on Fri, 17 Mar 2017 12:56:06 -0600 writes: > Dear all, > We seem to have found a "strange" behaviour in the hyperbolic tangent > function tanh on Windows. > When running tanh(356 + 0i) the Windows result is NaN + 0.i while on Mac > the result is 1 + 0i. It

Dear R Folks, I know that Enrique Bengoechea ( Credit Suisse ) had posted some code snippets for importing Bloomberg historical data into R. I found them to be very useful. Has anyone succeeded in getting the below items from Bloomberg to R? (a) historical economic release data, (b) tick/intra-day data (c) bulk data such as Index membership info, etc. If someone is willing to share their code

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 obvious flaws with this script? library("ghyp")

Dear R People: There is a function from the fBasics library to get the probability and quantiles for the hyperbolic probability function. Is there one that will estimate parms of the hyperbolic probability function from a data set, please? Thanks in advance! Sincerely, Erin Hodgess mailto: hodgess at gator.uhd.edu R Version 2.0.1 windows

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 team, I am facing issues with PearsonIV distribution fitting in R. I am applying Hyperbolic and PearsonIV distributions on the equity returns in UK over a period of 30 years. For the same data set i am getting strikingly different results under which Hyperbolic distribution does produce negative percentiles of the return after fitting but PearsonIV distribution does not. I think there is an

For future reference: https://sourceforge.net/p/mingw-w64/mailman/message/35747206/ On Wed, Mar 22, 2017 at 2:12 PM, Jeroen Ooms <jeroenooms at gmail.com> wrote: > This looks like a bug in mingw-w64 CRT. The problem can be produced > with C++ without R: > > #include <iostream> > #include <cmath> > #include <complex> > > int main(){ >

Hi, I want to calculate the Value at Risk with using some distirbutions and a volatility model. I use the following data(http://uploadeasy.net/upload/cdm3n.rar) which are losses (negative returns) of a company of approx. the last 10 years. So I want to calculated the Value at Risk, this is nothing else than the quantile. Since I have losses I consider the right tail of the distribution. Consider

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

Dear all Currently, I'm implementing the generalized hyperbolic distribution into Splus. Unfortunately the Bessel function is not implemented in Splus. In R the Bessel function does exist but it is an internal function and I'm not able to look at the code. Is there any possibility to see the code of the Bessel function in R or does anybody has an implementation of the Bessel function in

Dear R Folks, I'm a big fan of R, but there are a couple of things that repeatedly annoy me, and I wondered if anyone has neat ways to deal with them. (a) When using "apply" row-wise to a matrix, it returns the results column-wise, and to preserve the original orientation, I've to do a transpose. E.g. I've to keep doing a transpose, which I consider to be quite

Can someone please explain to me why the dates get shifted by one day when I create an its ( irregular time-series ) object from a matrix for which I've assigned row names. E.g. in the example run below, why does the its object have dates one-shifted from my original dates? > install.packages('its') > install.packages('Hmisc') > require(its) > m <-

Chandler, I am not a “politically correct” person, never have been, never will be. If you are waiting for me to make a politically incorrect statement so you can jump on it, let me assure you that you will never be disappointed. But if that’s all you do then you and llvm lose out. If you want to actually help llvm move forward then you should judge what I say based on its merit,

Dear R users, I'm trying to fit stable distribution and hyperbolic distribution to my data using stableFit(), and hypFit() of fBasics. However, there are some problems This is the result ====================================== > stableFit(lm, alpha = 1, beta = 0, gamma = 1, delta = 0, doplot = TRUE, trace = FALSE, title = NULL, description = NULL) Title: Stable Parameter Estimation

Hey all, I have a question for those administrating/building out systems with over 30 users on them. How often do you experience the dropped call phenomena. Would you care to share your experiences including what versions of * you were using, what kind of connectivity was present (T1, Fractional T, Intergrated T, DSL, Cable). Echo? Solutions? (e.g. we bought an X_Brand Echo Canceller). Also,