[R] 回复: high-frequency data in R

10138 The sample data is here. ��: Zixuan Qi ʱ��: 2020��11��25�� 4:12 �ռ���: r-help@r-project.org : high-frequency data in R Hello, I attach the sample data in the email and you can use the data to try my code. My code is as follow. library

[R] high-frequency data in R

Hello, I attach the sample data in the email and you can use the data to try my code. My code is as follow. library('highfrequency') library('xts') data=read.table("sample data.csv",header=F,skip = 1,stringsAsFactors=FALSE,sep="\t") colnames(data)=c(" ",'SYMBOL',"PRICE","PERMNO") id <- unique(da

[R] highfrequency package-jump test

Hello, My programming is as follows. library(highfrequency) library(data.table) library(xts) tm<-seq.POSIXt(from = as.POSIXct("2020-08-20 09:30:00"),to = as.POSIXct("2020-08-20 15:59:00"),by='min') data<-xts(x=data$PRICE,order.by=tm) data <- as.data.table(data) setnames(data,c('index'),c('DT'))

[R] A question about nlminb function

Hi, I use the function nlminb to maximize a function and got convergence with the message false-convergence. I know the reason may be the gradient $B"`(Bf(x) may be computed incorrectly, the other stopping tolerances may be too tight, or either f or $B"`(Bf may be discontinuous near the cur

[R] A question about optim function in R

Hi, I encounter a problem in R. My program is as follows. lower <- c(-Inf,-Inf,-Inf,-Inf,0,0,0,-1,-1,-1) upper <- c(Inf,Inf,Inf,Inf,Inf,Inf,Inf,1,1,1) out <- optim(parm,logLik,method='L-BFGS-B',lower=lower,upper=upper,hessian=hessian) As you can see, I have restricted parameter[5], parameter[6]

[R] A Question about MLE in R

Hi, I encounter a problem. I use optim() function in R to estimate likelihood function and the method is SANN in the optim function. out <- optim(parm,logLik,method='SANN',hessian=T,control=list(maxit=500)) However, I find that each time I run the program, I will get different values of param