Displaying 20 results from an estimated 200 matches similar to: "model of fish over exploitation"
2009 Nov 02
1
AR Simulation with non-normal innovations - Correct
Dear Users,
I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess.
By t-GARCH I want to mean that:
e_t=n_t*sqrt(h_t) and
h_t=ct2+a*(e_t)^2+b*h_t-1.
where n_t is a random variable with t-Student distribution.
If someone could give some guidelines, I can going developing the model.
I did it in matlab, but the loops
2013 Mar 12
1
rugarch: GARCH with Johnson Su innovations
Hey,
I'm trying to implement a GARCH model with Johnson-Su innovations in order to simulate returns of financial asset. The model should look like this:
r_t = alpha + lambda*sqrt(h_t) + sqrt(h_t)*epsilon_t
h_t = alpha0 + alpha1*epsilon_(t-1)^2 + beta1 * h_(t-1).
Alpha refers to a risk-free return, lambda to the risk-premium.
I've implemented it like this:
#specification of the model
2004 Aug 06
1
Elementary questions about data structures
Folks,
S_t = (x_t, y_t) is the state of a system at time t. There is an
iterative function which converts S_t into S_{t+1}. I can easily write
this in R like this:
iterate <- function(S) {
list(S$x+1, S$y+1)
}
So this function eats S_t and makes S_{t+1} and I can say
S2 <- iterate(S1)
My question: suppose I want to iterate from 1..10, what is the data
structure
2010 Apr 21
2
problem of R CMD check
Hi all,
Today, i just installed the newest R version 2.10.1 and other necessary
tools for building R package under windows,e.g. Rtools, perl. All are the
newest version.
After the correct configuration under windows, i use it to re-check my old
package. I found the following prolem when checking EXAMPLE, which did not
exist before this re-installation.
########
* checking examples ... ERROR
2007 Jun 19
1
plotting order of lines in xyplot panels while using conditioning variable and groups
I am using the following code:
library(lattice)
data<-read.csv("data.csv")
attach(data)
fig<-xyplot(S_t~month|event,
key = list(text=list(lab=c("Time to first CV
event - Data",
"Survival post
first CV event - Model",
"Survival post
first MIA/CA event - Data",
2004 Sep 03
4
[LLVMdev] diffs for vc7.1
Hi all,
Here the first bunch of patch for compiling part of LLVM under win32
with MSVC 7.1:
* Trivial addings (I hope!):
- #include <string> at top of:
llvm\include\llvm\ExecutionEngine\ExecutionEngine.h(78) : error
C2039: 'string' : is not a member of '_STL'
- #include <algorithm> at top of:
llvm\lib\CodeGen\LiveIntervalAnalysis.cpp(639) : error C2039:
2004 May 03
0
multinomial regresion, nls
Hi,
Does R have any functions implementing such multinomial regression:
(S_t^A,S_t^B)~MN(N_t-Y_{t-1},P_t^A,P_t^B)
where MN(n,p_1,p_2) is multinomial distribution with parameters n, p_1, p_2.
Here P_t^A and P_t^B are nonlinear functions from predictor variables and
parameters which need to be estimated.
Here A and B are used for notation, they are not parameters.
My second question is about
2006 May 19
0
how to estimate adding-regression GARCH Model
---------- Forwarded message ----------
From: ma yuchao <ma.yuchao@gmail.com>
Date: 2006-5-20 ÉÏÎç4:01
Subject: hello, everyone
To: R-help@stat.math.ethz.ch
Hello, R people:
I have a question in using fSeries package--the funciton garchFit and
garchOxFit
if adding a regression to the mean formula, how to estimate the model in
R? using garchFit or garchOxFit?
For example,
2012 Oct 02
2
Questions on converting to ConfBridge
I'm looking at what would be involved in converting from MeetMe to
ConfBridge and there seems to be a lot of missing administrative things,
but I hope I'm just missing it. We all know about the missing realtime
linkage. That's a major nuisance, but can be worked around.
More serious is that the CLI command to display users in a ConfBridge
don't show the caller ID information, so
2010 Jun 06
2
Generalized DCC GARCH ML estimation
--
View this message in context: http://r.789695.n4.nabble.com/Generalized-DCC-GARCH-ML-estimation-tp2245125p2245125.html
Sent from the R help mailing list archive at Nabble.com.
2011 Feb 26
0
A problem about realized garch model
Hi, I am trying to write the Realized GARCH model with order (1,1)
The model can be describe bellow:
r_t = sqrt( h_t) * z_t
logh_t = w + b*logh_(t-1) + r*logx_(t-1)
logx_t = c + q*logh_t + t1*z_t +t2*(z_t ^2 -1) + u_t
and z follow N(0,1) , u follow N(0, sigma.u^2)
But I'm troubled with the simulation check for my code.
After I simulate data from the model and estimate the data,
I
2011 Oct 01
4
Is the output of survfit.coxph survival or baseline survival?
Dear all,
I am confused with the output of survfit.coxph.
Someone said that the survival given by summary(survfit.coxph) is the
baseline survival S_0, but some said that is the survival S=S_0^exp{beta*x}.
Which one is correct?
By the way, if I use "newdata=" in the survfit, does that mean the survival
is estimated by the value of covariates in the new data frame?
Thank you very much!
2012 Oct 23
1
scatterplot with wrong line offset
Hi All,
I'm trying to do a Scatterplot (package: car), and add a line (just for
reference).
There is my code:
#------------------------------------Code---------------------------------------------------
library("car")
library("calibrate")
G_T<-c("car","bike","boat")
ave<-c(80,10,45)
perf<-c(100,80,75)
df2<-data.frame(G_T,ave,perf)
2010 Oct 06
1
dlm package: how to specify state space model?
Dear r-users!
I have another question regarding the dlm package and I would be very
happy if someone could give me a hint!
I am using the dlm package to get estimates for an endogenous rate of
capacity utilization over time. The general form of a state space model
is
(1) b_t = G * b_t-1 + w_t w_t ~ N(0,W)
(2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V)
(Hamilton 1984: 372)
The
2009 Feb 25
3
survival::survfit,plot.survfit
I am confused when trying the function survfit.
my question is: what does the survival curve given by plot.survfit mean?
is it the survival curve with different covariates at different points?
or just the baseline survival curve?
for example, I run the following code and get the survival curve
####
library(survival)
fit<-coxph(Surv(futime,fustat)~resid.ds+rx+ecog.ps,data=ovarian)
2005 Dec 14
1
Kalman Filter Forecast using 'SSPIR'
Dear R Users,
I am new to state-space modeling. I am using SSPIR
package for Kalman Filter. I have a data set containing one dependent
variable and 7 independent variables with 250 data points. I want to use
Kalman Filter for forecast the future values of the dependent variable
using a multiple regression framework. I have used ssm function to
produce the state space (SS)
2006 Apr 20
2
bug: code not working as expected (PR#8783)
Hi,
I've attached two files with the sources for a function to implement the
finite difference method for solving a particular differential equation.
One of them works correctly, the other gives wrong results or returns an
error, depending on the version of R.
The difference between them is that in the 'broken' version in line 42 I
check if the items in the two-dimensional array
2006 Dec 20
2
Kalman Filter in Control situation.
I am looking for a Kalman filter that can handle a control input. I thought
that l.SS was suitable however, I can't get it to work, and wonder if I am
not using the right function. What I want is a Kalman filter that accepts
exogenous inputs where the input is found using the algebraic Ricatti
equation solution to a penalty function. If K is the gain matrix then the
exogenous input
2010 Sep 28
0
Time invariant coefficients in a time varying coefficients model using dlm package
Dear R-users,
I am trying to estimate a state space model of the form
(1) b_t = G * b_t-1 + w_t w_t ~ N(0,W)
(2) y_t= A' * x_t + H' * b_t + v_t v_t ~ N(0,V)
(Hamilton 1984: 372)
In particular my estimation in state space form looks like
(3) a3_t = 1 * a3_t-1 + w_t w_t ~ N(0,W)
(4) g_t = (a1, a2) * (1, P_t)' + u_t * a3_t + v_t v_t ~ N(0,V)
where g_t is the
2008 May 07
1
dlm with constant terms
Hi,
I am trying to figure how to use dlm with constant terms
(possibly time-dependent) added to both equations
y_t = c_t + F_t\theta_t + v_t
\theta_t = d_t + G_t\theta_{t-1} + w_t,
in the way that S-PLUS Finmetrics does?
Is there any straightforward way to transform the above to
the default setup?
Thanks,
Tsvetan
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