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On Mon, Jul 11, 2005 at 08:27:40AM -0700, Rob J Goedman wrote: > Ajay, > > After installing both setRNG (2004.4-1, source or binary) and dse > (2005.6-1, source only), it works fine. Thanks! :-) Now dse1 works, but...
On Tue, Oct 23, 2007 at 09:50:49AM +0100, Patrick Burns wrote: > Comparing estimators is a good idea. But a good comparison > is more complex than stated. I'm sorry I was not clear. For starters, I was only...
> I need to perform maximum likelihood estimation on R, but I am not sure > which command to use. I searched on google, and found an example using the > function mlogl, but I couldn't find the package on R. Is...
I wonder what the R community thinks about kdb and the q language. A person from Morgan Stanley says that R is just great as a PL but for the performance issues faced in finance with intra-day data and...
Folks, I recently came across a robust MM-estimator for panel data with fixed effects by Bramati & Croux, Econometrics journal, 2007. The article is: http://onlinelibrary.wiley.com/doi/10.1111/j.1368-423X.2007.00220.x/abstract There is...
How would I do something like this: f <- function(x, g) { s <- as.character(g) # THIS DOES NOT WORK sprintf("The %s of x is %.0f\n", s, g(x)) } f(c(2,3,4), "median") f(c(2,3...
In R, I see support for ARCH models and for ARMA models (in the tseries package). How would we estimate the workhorse model where stock returns are ARMA with ARCH errors? I am aware of the paper by Andy Weiss...
I know the `quantcut' function in the gregmisc package, and using it, I'm able to use functions like aggregate to compute the mean or sd() in each quartile. What if I have a data frame containing x and y...
On Mon, Nov 17, 2008 at 10:51:36AM -0600, Jeff Ryan wrote: > Marc, > > In terms of data you get what you pay for. > > even then... :) > > If you want, quantmod's getSymbols can fetch google financial data, > which is split...
I have a situation where this is fine: > if (length(x)>15) { clever <- rr.ATM(x, maxtrim=7) } else { clever <- rr.ATM(x) } > clever $ATM [1] 1848.929 $sigma [1] 1.613415 $trim [1] 0 $lo [1] 1845.714 $hi...
x <- c(6.6493705109108, 7.1348436721241, 8.76886994525624, 6.12907548096037, 6.88379118678109, 7.17841879427688, 7.90737237492867, 7.1207373264833, 7.82949407630692, 6.90411547316105) plot(ecdf(x), log="x") It does the plot fine, but complains: Warning message: In xy.coords(x...
I have two data frames. Suppose the first has rows r1 r2 r3 and the second has rows R1 R2 R3 I'd like to generate the data frame: r1 R1 r1 R2 r1 R3 r2 R1 r2 R2 r2...
On Fri, Oct 24, 2008 at 02:01:18PM -0400, Whit Armstrong wrote: > anyone using optim to solve for bond yields given price? > > I've anyone has any quick and dirty code, I would be grateful. You mean: ytm <- function...
> Sweave makes a lot of use of verbatim environments, and beamer doesn't > like those. You need to declare that a slide contains verbatim or you > get errors like that. > > I'm sure there are other ways to do this...
On Mon, Dec 13, 2004 at 02:20:00PM +0100, DERUAZ Alexandre wrote: > Hello everybody. > > I found a thread on multivariate GARCH in archives, asking if something > was being developped. > Any news since then ? > > Is there any code available for...
On Sun, Nov 13, 2005 at 07:00:24PM +0100, vincent at 7d4.com wrote: > Ajay Narottam Shah a ?crit : > > > The EUR/USD currency market is very liquid and the data should be very > > sharp. > > But I see big differences...
On Sat, Jun 17, 2006 at 11:49:49AM +1000, Michael Cohen wrote: > I need to store some larger zoo objects on a local database. One possibility could be like this. Use save() to make a binary file out of...
> It's frustrating because I can see a noticeable relationship between > our file volume and the unemployment rate (in particular,) but I'm not > sure how to appropriately frame it in a way that another > statistician/modeler would want the...
> I'm using the Box-Ljung test (from within R) to test if a > time-series in independently distributed. I have window$r.nifty, which is a time-series of returns on the Nifty market index. # Box-Ljung test on...
The example supplied for mvBEKK.sim() doesn't work with R 2.5.1: > library(mgarchBEKK) `mgarchBEKK' version: 0.07-8 > sim = mvBEKK.sim(series.count = 3, T = 2500) the part of the args list of 'list' being evaluated was...
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