Displaying 20 results from an estimated 10000 matches similar to: "How to standardize the generalized hyperbolic distribution?"
2013 May 01
0
Standardized Generalized Hyperbolic Distribution
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
2013 May 02
0
How does dsgh do the standardization?
Hi,
I try to understand how the generalized hyperbolic distribution is
standardized. One reference is the rugarch vignette, page 16-18:
http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
I looked at the code of the dsgh function in the fBasics package:
> dsgh
function (x, zeta = 1, rho = 0, lambda = 1, log = FALSE)
{
if (length(zeta) == 3) {
2011 May 06
1
Generalized Hyperbolic distribution
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.
2007 Jul 05
0
about stableFit() and hypFit() of fBasics package
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
2004 Nov 22
2
rhyp function from fBasics
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
2017 Mar 21
0
Hyperbolic tangent different results on Windows and Mac
>>>>> 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
2013 Apr 06
1
Value at Risk using a volatility model?
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
2017 Mar 17
4
Hyperbolic tangent different results on Windows and Mac
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(
2013 Apr 07
0
Fitting distributions to financial data using volatility model to estimate VaR
Ok,
I try it again with plain text, with a simple R code example and just
sending it to the r list and you move it to sig finance if it is
necessary.
I try to be as detailed as possible.
I want to fit a distribution to my financial data using a volatility
model to estimate the VaR. So in case of a normal distribution, this
would be very easy, I assume the returns to follow a normal
distribution
2012 Jan 25
1
Issues with PearsonIV distribution
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
2008 Sep 09
1
fBasics package: dnig
Hi,
I am trying to calculate probability density of normal inverse gaussian distribution. I am using dnig function of fBasics package. However, I am getting following result. The density at x = 0.003042866 is:
> dnig(x= 0.003042866, alpha=5.184868, beta= 0.11841, delta= 0.06038513, mu= -0.0003520626)
[1] 6.550251
I am not sure why it is 6.550251. Can anyone tell me why density is more than
2006 Jan 30
1
fExtreme packages
Hello,
I am a new user of R. I am trying to use the packages fBasics and fExtremes
when i am running the examples I get few error. Could someone tell me what is
happenig? Thank you beforehand.
from Fbasics packages:
xmpfBasics()
Error in file(file, "r") : unable to open connection
In addition: Warning message:
cannot open file '/usr/lib/R/library/fBasics/demoIndex'
2010 Sep 21
2
Need help for EM algorithm ASAP !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
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)
2004 Jul 04
1
Rmetrics 191.10057
It is a pleasure for me to announce the new built for Rmetrics Version
191.0057. The source files and Windows binary packages can be downloaded
from www.rmetrics.org .
The new built has also been submitted to the CRAN server. Some new
functions
and example files have been added. Unfortunately the user guides and
reference
guides are not yet updated, they have still the status of Version
2017 Mar 27
1
Hyperbolic tangent different results on Windows and Mac
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(){
>
2008 Sep 24
0
Trouble understanding the behaviour of stableFit(fBasics)
Can anyone explain such different output:
> stableFit(s,alpha = 1.75, beta = 0, gamma = 1, delta = 0,
+ type = c("q", "mle"), doplot = TRUE, trace = FALSE, title = NULL,
+ description = NULL)
Title:
Stable Parameter Estimation
Call:
.qStableFit(x = x, doplot = doplot, title = title, description =
description)
Model:
Student-t Distribution
Estimated
2008 Sep 30
0
error in fBasics package
When I try to load "fBasics" package, I get following error/warning :
> library(fBasics)
Loading required package: fImport
Loading required package: fSeries
Loading required package: fBasics
Loading required package: fImport
Loading required package: fSeries
Loading required package: fBasics
Loading required package: fImport
Loading required package: fSeries
Loading required package:
2012 Sep 17
2
Constraint Optimization with constrOptim
Hi,
I am having trouble using constrOptim. My target is to do a portfolio optimization and there some constraints have to be fulfilled.
1) The weight of each share of the portfolio has to be greater than 0
2) The sum of these weights has to be 1
I am able to fulfill either the first or the second constraint but not both.
One simple way would be to fulfill the first constraint by using optim as
2008 Oct 15
1
stablefit can fit the parameters of a truncated normal distribution?
I'm using stableFit from the package fBasics to estimate the parameters of a
truncated normal distribution (I'm interested in the parameters of the
underlying normal distribution). It is correct to generalize this truncated
normal distribution as a stable distribution ?
Thanks
David
--
View this message in context:
2007 Jul 24
1
Fit t distribution
Hi all, I am trying to fit t distribution using the function "tFit" in the
library(fBasics).
I am using the code tFit(datac[[2]]) and it returns the following list.
Title:
Student-t Parameter Estimation
Call:
tFit(x = datac[[2]])
Model:
Student-t Distribution
Estimated Parameter(s):
df
78.4428
I just wonder how can I refer to the estimated parameters. I tried