[R] Polynomial optimisation in R

I can not find any packages for polynomial optimisation in R. Please let me know any packages for that. Regards, Ser -- View this message in context: http://r.789695.n4.nabble.com/Polynomial-optimisation-in-R-tp4647085.html Sent from the R help mailing list archive at Nabble.com. ___

[R] "DLM " package + State Space

I plan to estimate the multi-factor model for Kalman Filter Mean Reverting, Random Coefficient. For example: R(it)= Alpha(it)+ Beta(it)R(mt)+Gamma(it)(R(mt)^2)+delta(it)(R(mt)^3)+ V(it) Note: (alphabar= Mean Alpha, Betabar= Mean Beta, Gamma= Mean Gamma, Deltabar= Delta Mean) KF Mean R

Re: [R] "State Space" + "Kalman Filter "

So I do not find example what I expect. I plan to estimate the multi-factor model for Kalman Filter Mean Reverting, Random Walk and Random Coefficient. For example: R(it)= Alpha(it)+ Beta(it)R(mt)+Gamma(it)(R(mt)^2)+delta(it)(R(mt)^3)+ V(it) KF Random walk Alpha(it)= Alpha(it-1)+W(i1t) Beta

Re: [R] "State Space" + "Kalman Filter "

I know these package but I plan to analyse financial multi factorial data set, and also estimate diffuse initial values for these models. I generated my own code, but I had problem with optim() package problem. I need some constraints and I do not apply it in my code. Do you have any suggesti

[R] "State Space" + "Kalman Filter "

I analyzed the kalman filter based approaches like mean reverting, random coefficient and random walk. At this point Automatic package is inadequate and need some constraints. I also found Kalman Filter code in Shumway$Stoffer book, but it did not provide the correct optimization. Can you su

Re: [R] "optim" and "nlminb"

I have already try "optimx" but I got this error message. How to solve it. fn is Linn Function has 10 arguments par[ 1 ]: 0 http://r.789695.n4.nabble.com/optim-and-nlminb-tp4645772p4645907.html Sent from the R help mailing list archive at Nabble.com. ___

Re: [R] "nlmnib" Package + Hessian Output

Sorry but I don't modified my function with "mle2" :( :( Can you give example how to obtain Hessian with numDeriv ? Serdar # Function Linn=function(param){ phi1=((param[1]^2/(1+param[1]^2))) phi2=((param[2]^2/(1+param[2]^2))) phi3=((param[3]^2/(1+param[3]^2))) phi

[R] "optim" and "nlminb"

#optim package estimate<-optim(init.par,Linn,hessian=TRUE, method=c("L-BFGS-B"),control = list(trace=1,abstol=0.001),lower=c(0,0,0,0,-Inf,-Inf,-Inf,-Inf,-Inf,-Inf,-Inf,-Inf,-Inf),upper=c(1,1,1,1,Inf,Inf,Inf,Inf,Inf,Inf,Inf,Inf,Inf)) #nlminb package estimate<-nlminb(init.par,Linn,gr=NULL,hessian=T

[R] "nlmnib" Package + Hessian Output

I need a "Hessian" matrix in "nlmnib" package to discuss whether parameters are significant or not. Please let me know how to obtain hessian matrix and how to evaluate the significancy of parameters. Regards Serdar -- View this message in context: http://r.789695.n4.nabble.com/nlmnib-Packag

Re: [R] "Optimx Package" Error

Sorry but I don't understand what your opinion. "Also try this initial values : ( 0.5, 0.5, 0.5, 1 ,1,1,1,1,1,1) Then I got same error. Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.com/Optimx-Package-Error-tp4645669p4645673.html Sent from the R help mailing li

[R] "Optimx Package" Error

estimate<- optimx(init.par,Linn,gr=NULL,method= "L-BFGS-B", hessian=TRUE, control = list(trace=1),lower=c(0,0,0,-Inf,-Inf,-Inf,-Inf,-Inf,-Inf,-Inf),upper=c(1,1,1,Inf,Inf,Inf,Inf,Inf,Inf,Inf)) fn is Linn Function has 10 arguments par[ 1 ]: 0 http://r.789695.n4.nabble.com/Optimx-Package-Error-

[R] "rugarch" package

My code: spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = "Null", external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder=c(0,0),include.mean =FALSE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex

Re: [R] "Modified Diebold-Mariano Test" with forecast package

Thanks, I searched rseek.org and sos package not providing any about "Modified Diebold-Mariano Test". Regards, Ser -- View this message in context: http://r.789695.n4.nabble.com/Modified-Diebold-Mariano-Test-with-forecast-package-tp4594648p4594686.html Sent from the R help mailing list archi

[R] "Modified Diebold-Mariano Test" with forecast package

Hi I tried to calculate modified Diebold-Mariano Test in R . I have already find a "forecast" package to calculate the Diebold-Mariano Test. Please let me know how to obtain " Modified Diebold-Mariano Test" ? Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.com/Mod

[R] Convex optimization in R ?

Hi I should stochastic receding control process for portfolio optimization, so that I need a convex optimisation package in R . Please let me know if any package is available for convex optimisation packages. Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.c

[R] rugarch with sub models

Hi spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = NULL, external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder=c(0,0),include.mean = FALSE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALS

[R] rugarch for GJR

hi >From *uguarchfit()* output; *$sigma* values are same as above formulation: sigma(t-1)^2= omega1+ alpha1*return(t-1)^2 + gamma1* I(t-1)*return(t-1)^2 + beta1*sigma(t-1) Can I use output of $sigma ^2 instead of above formulation ? spec<-ugarchspec(variance.model = list(model = "gjrGARCH"

[R] fGarch package for Student-t Garch

Hi Rt<-garchFit(formula=~garch(1,1),include.mean=FALSE,data= X2,cond.dist=c("std")) # Student-t Garch. I got the this output omega alpha1 beta1 shape 0.0001027529 0.05195144470.88871366025.6843302645 I use above formulation

Re: [R] Optim() package restriction

I did it like above but got an error message. > estimate<- optim(init.par,Linn,gr=NULL,method= "L-BFGS-B", > hessian=FALSE,control = > list(trace=1),lower=c(0,-Inf,Inf,Inf),upper=c(1,Inf,Inf,Inf)) Error in solve.default(sig[, , 1]) : system is computationally singular: reciprocal condition num

Re: [R] Optim() package restriction

Thanks for your attention. I searched this function but I can not find " special example about box constraint". Can you give an example for my code? Regards, Ser -- View this message in context: http://r.789695.n4.nabble.com/Optim-package-restriction-tp4418379p4418858.html Sent from the R hel

[R] Optim() package restriction

Hi I need a "phi" restriction in my code. That is "0http://r.789695.n4.nabble.com/Optim-package-restriction-tp4418379p4418379.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mail

Re: [R] Install the rugarch-package

Without space 'rugarch' -- View this message in context: http://r.789695.n4.nabble.com/Install-the-rugarch-package-tp3911903p4381876.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch

Re: [R] Install the rugarch-package

I got the same error on MAC Lion Error in as.environment(pos) : no item called "newtable" on the search list In addition: Warning message: In objects(newtable, all.names = TRUE) : ‘newtable’ converted to character string Error: package/namespace load failed for 'rug arch' Regards, Serdar -

[R] Linear quadratic Gaussian control with Kalman filter

I need to generate Linear quadratic Gaussian control with Kalman filter in R programming. I only get matlab code. I think that R portfolio optimisation code ( quad..) is not adequate for this topic. Linear quadratic Gaussian control with Kalman filter http://en.wikipedia.org/wiki/Linear_quad