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>Error in file(file, "r") : unable to open connection >In addition: Warning message: >cannot open file 'a:/project.txt' >please help help(read.table) Hannu Kahra --------------------------------- [[alternative HTML version deleted]] ______________________________________________ R-help at stat.math.ethz.ch mailing list https...

>I also try to fit a skewed distribution (like skewed student t) to data >points. Do you have an idee howto do this??? library(skewt) y <- rskt(500,2,2) # simulate 500 observations from the skew t distribution with df...

>Currently, I'm implementing the generalized hyperbolic distribution into >Splus. Unfortunately the Bessel function is not implemented in Splus. In >R the Bessel function does exist but it is an internal function and I'm >not able to look at...

>From Spencer Graves: >However, for an equality constraint, I've had good luck by with an objective function that adds something like the >following to my objective function: constraintViolationPenalty*(A%*%theta-c)^2, where "constraintViolationPenalty" is >passed via "..." in a...

In Venables & Ripley: Modern Applied Statistics with S (MASS), (4th edition), on page 184 there is a table "Families and link functions" that gives you the available links with different families. The default and the only link with the gaussian...

Matteo, have a look at http://www.mrc-bsu.cam.ac.uk/bugs/faqs/contents.shtml and BUGS http://www.mrc-bsu.cam.ac.uk/bugs/welcome.shtml. Hannu Kahra Progetti Speciali Monte Paschi Asset Management SGR S.p.A...

I have a monthly price index series x, the related return series y = diff(log(x)) and a POSIXlt date-time variable dp. I would like to apply annual blocks to compute for example annual block maxima and mean of...

Jeff, See Bernd Scherer's book "Portfolio Construction and Risk Budgeting" http://books.global-investor.com/books/20526.htm?ginPtrCode=00000&identifier=ed046b089287e2d975ea91dd0fd89aa4. It seems that 6. Benchmark-Relative Optimization provides the answer. I have written a code for that...

Consider using the HyperbolicDist package. With the package you can both fit the hyperbolic distribution to your data and generate random numbers from the distribution. Hyperbolic distribution/s provide/s good fit to financial returns that commonly exhibit high peaks...

A brief look at my library reveals that I have at least the following books on financial econometrics: Walter Enders: Applied Econometric Time Series (contains RATS code) John Y. Campbell - Andrew W. Lo - Craig MacKinlay: The Econometrics of Financial Markets...

Wojciech, in the early 90s I wrote a working paper, where I studied the behavior of the implicit volatilities of the Finnish FOX index options (as a function of time to expiry). In some cases I got similar results. In...

George, Venables & Ripley: Modern Applied Statistics with S, Springer 2002, Chapter 16 (An example: fitting a mixture model) may be helpful. Hannu Kahra -----Original Message----- From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-bounces at stat...

In a private mail Petr noted that I had mixed POSIX with a time series class in a call to aggregate, that was the case. Petr's sugestion usa <- diff(log(MXNA/XEU)) z <- aggregate(usa, list(annual=cut(dp...

It is likely that here STAR means the Smooth Transition Autoregressive model which generalizes the Threshold Autoregressive (TAR) model to allow for gradual switching between regimes. The model can be estimated in R by applying maximum likelihood (ML) estimation or...

Sigfried, I am not a statistician, but I have learned that according to the Central Limit Theorem (CLT) sums of random variables, regardless of their form, will tend to be normally distributed. CLT does not require the variables in the...

I have followed Gabor's instructions: > aggregate(list(y=y), list(dp$year), mean)$y # returns NULL since y is a time series NULL > aggregate(list(y=as.vector(y)), list(dp$year), mean)$y # returns annual means [1] 0...

> from Ingmar Visser: >I would like to optimize a (log-)likelihood function subject to a number of >linear constraints between parameters. These constraints are equality >constraints of the form A%*%theta=c, ie (1,1) %*% 0.8,0.2)^t...

Jeff, here is the code I mentioned on Friday. The example is taken from Scherer's book. For some reason, I do not get exactly the same solution. > benchmark.relative.portfolio <- function(lamda,covmat,returns) + { + n <- dim(covmat) [2] + U...

Thank you Petr and Gabor for the answers. They did not, however, solve my original problem. When I have a monthly time series y with a POSIX date variable dp, the most obvious way to compute e.g. the annual...

Lorenzo, Have a look at the portfolio.optim R code and how it applies solve.QP. Download the tseries version 1.9 package and unzip it. The tseries folder contains a folder called R that contains the tseries file. Have...