similar to: ARMA(0,2) & GARCH(1,1) - code & hessian

Hello everyone, I'm trying to estimate the parameters of the returns series attached using the GARCH code below, but I get the following error message: Error in solve.default(Hessian) : system is computationally singular: reciprocal condition number = 0 Error in diag(solve(Hessian)) : error in evaluating the argument 'x' in selecting a method for function 'diag' Can

Hello, i want to estimate a complex GARCH-model (see below). http://r.789695.n4.nabble.com/file/n4112396/GJR_Garch.png W stands for the Day of the Week Dummies. r stands for returns of stock market indices. I stands for the GJR-term. I need some help with three problems: 1.) implementation of the GJR-term in the variance equation 2.) compute robust covariance matrix

Dear All, I am running a simulation to obtain coverage probability of Wald type confidence intervals for my parameter d in a function of two parameters (mu,d). I am optimizing it using "optim" method "L-BFGS-B" to obtain MLE. As, I want to invert the Hessian matrix to get Standard errors of the two parameter estimates. However, my Hessian matrix at times becomes

Hi all-- We are planning an intervention study for adolescent alcohol use, and I am planning to use simulations based on a hurdle model (using the hurdle() function in package pscl) for sample size estimation. The simulation code and power code are below -- note that at the moment the "power" code is just returning the coefficients, as something isn't working quite right. The

I'm trying to build R 2.10.1 on a Sun Blade 1000 running Solaris 10 (03/05 release). I've installed iconv 1.13.1 and used: CPPFLAGS="-I /export/home/drkirkby/sage-4.3.3.alpha0/local/include" (which is where iconv is) LDFLAGS= -R/export/home/drkirkby/sage-4.3.3.alpha0/local/lib -L/export/home/drkirkby/sage-4.3.3.alpha0/local/lib The build of R fails as below. gcc

Hi All: I had a basic question to ask. I am running R2WinBUGS so that I could automate the running of my model using 1000 simulated datasets. Below is the code I am using. The only problem I am having is the bugs output that comes out shows my parameters as nos with 1 decimal place after. I would want to have the parameters with 5 places after decimal. How would I specify that in my code for

Hi I am trying to use the deriv and eval functions to obtain the value of a function , say "xi-(alpha0+alpha1*gi)" , differentiated with respect to alpha0 and alpha1, in the following way # for gi = 0 > dU1dtheta <- deriv(~ xi-(alpha0+alpha1*gi), c("alpha0","alpha1")) > eval(dU1dtheta) (Intercept) -0.2547153 attr(,"gradient")

There is a thread on this topic already: http://finzi.psych.upenn.edu/Rhelp10/2010-August/250934.html I'm rather mystified by a similar problem and wondering whether I've overlooked something obvious. I'm running with latest versions of R and all packages, and latest version of JAGS running under Windows 7. Here's the problem. I have some source code. It's given below -

* Ralf Hildebrandt <Ralf.Hildebrandt at charite.de>: > > It seems to loop in sha1_loop & hash_format_loop > > The problem occurs in both 2.3 and 2.2 (I just updated to 2.3 to check). I'm seeing the first occurence of that problem on the 10th of october! I was using (prior to the 10th) : 2.3.0~alpha0-1~auto+371 On the 10th I upgraded (16:04) to:

Dear all, Can any one tell me how can i perform Orthogonal Polynomial Regression parameter estimation in R? -------------------------------------------- Here is an "Orthogonal Polynomial" Regression problem collected from Draper, Smith(1981), page 269. Note that only value of alpha0 (intercept term) and signs of each estimate match with the result obtained from coef(orth.fit). What

Hiya all, I'm seeing this "Fatal: nfs flush requires mail_fsync=always" error on my testbed. The issue is that from what I can see, mail_fsync is set to always : # doveconf -n | grep mail_fs mail_fsync = always The result is that the client does not connect at all, which is not really what I wanted to happen :) Any idea what is going wrong here? Best regards S?ren P. Skou

Hello, any news about the attached error? I'm preparing the 2.2 to 2.3 upgrade and having the same error. We have the mail stores in an NFS filer. Regards > On 19.01.2018 11:55, S?ren Skou wrote: >> Hiya all, >> >> I'm seeing this "Fatal: nfs flush requires mail_fsync=always" error on >> my testbed. The issue is that from what I can see, mail_fsync

I am trying to run WinBUGS 1.4 from the Ubuntu 6.10 Linux distribution. I am using the R2WinBUGS packages with the source file listed below. WinBUGS appears to run properly, but I get the following message after WinBUGS starts in WINE. Does anyone know what may be causing this error and what the correction may be? Thanks ERROR MESSAGE: fixme:ole:GetHGlobalFromILockBytes cbSize is 13824

Op 8-2-2017 om 21:07 schreef Jan Vonde: > Am 07.02.2017 um 12:29 schrieb Stephan Bosch: >> >> Op 31-1-2017 om 6:33 schreef Jan Vonde: >>> Am 31.01.2017 um 00:04 schrieb Stephan Bosch: >>>> Op 1/22/2017 om 12:01 PM schreef Stephan Bosch: >>>>> Op 1/22/2017 om 10:01 AM schreef Jan Vonde: >>>>>> I tried adding the following settings

Hi guys, I am afraid I am stuck with an estimation problem. I have two variables, X and Y. Y is explained by the weighted sum of n lagged values of X. My aim is to estimate the two parameters c(alpha0,alpha1) in: Yt = Sum from j=1 to n of ( ( alpha0 + alpha1 * j ) * Xt-j ) Where Xt-j denotes the jth lag of X. I came up with this approach because I thought it would be a good idea to estimate

>From the log: Jul 11 13:12:42 mproxy dovecot: imap-login: Login: user=<hildeb>, method=PLAIN, rip=141.42.206.36, lip=141.42.206.11, mpid=27254, TLS, session=<TGwoO1o3id+NKs4k> Jul 11 13:12:44 mproxy dovecot: imap(hildeb)<TGwoO1o3id+NKs4k>: Panic: file imap-client.c: line 854 (client_check_command_hangs): assertion failed: ((io_loop_find_fd_conditions(current_ioloop,

Hello, assume I have an "unstructured" text line from a connection. Unfortunately, it is in string format: R> x [1] "\talpha0\t-0.638\t0.4043\t0.4043\t-2.215\t-0.5765\t-0.137\t501\t2000" How can I extract the data included in this string object "x" in order to get the elements for the parameter vector called "alpha0", i.e. -0.638 0.4043 0.0467

Hi,dovecot is create an Fatal Panik Error. <AM5DMwaCBlgpDQAAWm89Cw>: Fatal: master: service(lmtp): child 3369 killed with signal 6 (core dumps disabled) <1jx3DhuCBlg1DQAAWm89Cw>: Panic: file lda-sieve-plugin.c: line 447 (lda_sieve_execute_scripts): assertion failed: (script != NULL) <1jx3DhuCBlg1DQAAWm89Cw>: Error: Raw backtrace: /usr/lib/dovecot/libdovecot.so.0(+0x93fae)

* Stephan Bosch <stephan at rename-it.nl>: > Op 10/18/2016 om 10:28 PM schreef Sven Roellig: > > Hi,dovecot is create an Fatal Panik Error. > > <AM5DMwaCBlgpDQAAWm89Cw>: Fatal: master: service(lmtp): child 3369 killed with signal 6 (core dumps disabled) > > <1jx3DhuCBlg1DQAAWm89Cw>: Panic: file lda-sieve-plugin.c: line 447 (lda_sieve_execute_scripts):

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