Displaying 20 results from an estimated 10000 matches similar to: "New package CreditMetrics"
2008 Oct 26
0
alternative to Crystal Ball ?
Dear R users,
I am looking for R packages that would best approximate Oracle's
Crystall Ball [1]. For those not familiar:
"Crystal Ball software is a leading spreadsheet-based software suite
for predictive modeling, forecasting, Monte Carlo simulation and
optimization. [..] Crystal Ball is used by customers from a broad
range of industries, such as aerospace, financial services,
2006 Oct 17
1
Review process for new packages
Hi all,
i'm currently working on a creditmetrics package which includes functions for computing the credit risk model creditmetrics. I guess it would be finished in a few days.
My question now is, does there exist some review process before sending it to ctan or is it reviewed after having sended it?
best regards
Andreas
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2012 Mar 22
0
New package RcppSMC 0.1.0 for Sequential Monte Carlo and Particle Filters
===== Summary =====
Version 0.1.0 provides the initial release of RcppSMC, an integration of the
SMCTC template classes for Sequential Monte Carlo and Particle Filters
(Johansen, 2009, J Statistical Software, 30:6) with the Rcpp package for R/C++
Integration (Eddelbuettel and Francois, 2011, J Statistical Software, 40:8).
RcppSMC allows for easier and more direct access from R to the
2013 Mar 27
1
Conditional CCA and Monte Carlo - Help!
Hi All,
I am using canonical correspondence analysis to compare a community
composition matrix to a matrix of sample spatial relationships and
environmental variables. In order to parse out how much variance is
explained purely by space (S/E) or the environment (E/S) I am using a
conditional (partial) CCA. I want to test significance via Monte Carlo but
I can not find a way to do this with a
2007 Jun 06
0
R package: Mchtest - Monte Carlo hypothesis testing allowing Sequential Stopping
Hi,
This is an announcement for a package that has been up on CRAN since March 2006 but was never announced.
The package is Mchtest - for Monte Carlo hypothesis tests allowing sequential stopping. The idea is to use the sequential probability ratio test boundaries to stop resampling for a Monte Carlo hypothesis test such as a bootstrap or permutation test. This means that you will take many
2007 Aug 31
1
Day Count Convention
Hi everybody,
i'm working on the next version of the CreditMetrics package. So i have
the question, are there any functions or packages which have have the
functionality to calculate dates with a certain day count convention
like act/360 or 30/360? Intensive search in the r-help archive or in the
manuals did not bring any solution.
thanks everybody for some help.
best regards
Andreas
2012 Dec 04
3
monte carlo simulation on R
Hello,
How can I make a monte carlo simulation on R?
Regards
Adel
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2005 Sep 23
4
books about MCMC to use MCMC R packages?
Dear list users,
I need to learn about MCMC methods, and since there are several packages in
R that deal with this subject, I want to use them.
I want to buy a book (or more than one, if necessary) that satisfies the
following requirements:
- it teaches well MCMC methods;
- it is easy to implement numerically the ideas of the book, and notation
and concepts are similar to the corresponding R
2016 Dec 05
0
NIMBLE package for hierarchical modeling now on CRAN
NIMBLE version 0.6-2 has been released on CRAN and at r-nimble.org.
NIMBLE is a system that allows you to:
- Write general hierarchical statistical models in BUGS code and
create a corresponding model object to use in R.
- Build Markov chain Monte Carlo (MCMC), particle filters, Monte
Carlo Expectation Maximization (MCEM), or write generic algorithms
that can be applied to any model.
-
2019 Jul 05
0
Update for R package KScorrect for K-S goodness-of-fit tests
Greetings,
We wanted to announce v. 1.4.0 of the R package 'KScorrect', which
carries out the Lilliefors correction to the Kolmogorov-Smirnoff (K-S)
test for use in (one-sample) goodness-of-fit tests.
Aside from several minor changes, the biggest change is that the Monte
Carlo algorithm now supports parallel implementation, using the
platform-independent 'doParallel' and
2016 Sep 26
2
Publication & Project: Verificarlo: checking floating point accuracy through Monte Carlo Arithmetic
Hi,
We have recently published a paper on floating point accuracy analysis
through Monte Carlo Arithmetic. We also released the open-source tool
Verificarlo (https://github.com/verificarlo/verificarlo) that relies on
LLVM for instrumenting floating point operations.
Could you please add our paper to http://llvm.org/pubs/ ?
Verificarlo: checking floating point accuracy through Monte Carlo
2012 Mar 22
0
New package RcppSMC 0.1.0 for Sequential Monte Carlo and Particle Filters
===== Summary =====
Version 0.1.0 provides the initial release of RcppSMC, an integration of the
SMCTC template classes for Sequential Monte Carlo and Particle Filters
(Johansen, 2009, J Statistical Software, 30:6) with the Rcpp package for R/C++
Integration (Eddelbuettel and Francois, 2011, J Statistical Software, 40:8).
RcppSMC allows for easier and more direct access from R to the
2004 Mar 09
1
bug(?) in chisq.test
This is a message for whoever maintains "chisq.test": For an
outcome more extreme than 2000 simulations, a Monte Carlo p-value of "<
2.2e-16" was printed. Ripley said the proper p-value for such cases
should be 1/(B+1) = 1/2001. This can be easily fixed by adding
"if(PVAL==0)PVAL <- 1/(B+1)" right after the following line in the code
for chisq.test (in R
2010 Mar 29
1
generating samples by Monte Carlo
Hello Dear,
I am trying to generate samples by using Monte Carlo simulation. For
example,
1000 samples, Exponential distribution (f(x), lambda=0.0005, 0<=x<=360)
Is there any package for Monte Carlo or just use random sample generation
function?
Many thank you for your help in advance,
Jin
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2006 Apr 05
1
Time Series Objects/ MC Simulation
I am attempting to value convertible bonds through a Monte Carlo approach.
I want to express call schedules as date-price tuples. Naturally, these
tuples need to be expanded to match the frequency of the innovations in the
MC process.
1. Is there a straigh-forward way to accomplish this "expansion"?
2. I have noted the existance of ts, its, zoo and fCalendar. Does anyone
have an
2007 Jun 06
0
R package: Mchtest - Monte Carlo hypothesis testing allowing Sequential Stopping
Hi,
This is an announcement for a package that has been up on CRAN since March 2006 but was never announced.
The package is Mchtest - for Monte Carlo hypothesis tests allowing sequential stopping. The idea is to use the sequential probability ratio test boundaries to stop resampling for a Monte Carlo hypothesis test such as a bootstrap or permutation test. This means that you will take many
2010 Oct 28
2
Please help me about Monte Carlo Permutation
> Dear R experts,
>I am sorry for my inability.
>I have the following dataset:
> Qtot Itot
>1 73 684
>2 64 451
>3 71 378
>4 65 284
>5 47 179
>6 31 117
>7 19 69
>
>Now I need to perform Monte Carlo Pertutation test underlaying the
following condition.
>
>
>Condition
>
>In order to choose randomly (5000 times) for the Qtot
2016 Apr 22
0
R - Understanding output of the Knoxtest (Package (surveillance))
The function knox of the "Surveillance" package performs Knox test for
space-time interaction. The output is supposed to give the numbers of
events that occur in a specific distance in space and time define by the
function arguments. This function also perform a Monte Carlo permutation
test, which give the estimated value (based on a random distribution) which
are supposed to be compared
2009 Jul 21
0
sampling randomly from general correlated multivariate PDFs
(apologies if this looks like a re-post, I just sent a similar message to the
r-help mail list. This version is via Nabble.)
My intended application is error propagation using the ISO GUM Supplement 1
approach (propagation of distributions using Monte Carlo strategies). To
automate uncertainty analysis I typically have the following data:
(1) a measurement function y(x1,x2,...xn)
(2) 'n'
2005 May 14
2
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