Re: [R] BDS test - results unclear to me

that the BDS test statistic is computed for embedding dimensions 2, ..., m., so why don't we get the same result in both cases? Thank you for your help, Best regards, Nicolas -- Adrian Trapletti Wildsbergstrasse 31 8610 Uster Switzerland Phone : +41 (0) 44 9945630 Mobile : +41 (0) 76

Re: [R] Diebold Mariano Test

Hello Graham Pls find attached some old R code for the Diebold Mariano test. The code is at least 6 years old and was not used in the meantime. Pls check first before using it. Best regards Adrian Dear List Has anyone used R to distnguish between alternative forecasting models? In

Re: [R] Bug report on get.hist.quote

get.hist.quote(instrument=INR/USD, provider=oanda, start=2005-10-20) trying URL 'http://www.oanda.com/convert/fxhistory?lang=endate1=10%2F20%2F2005date=11%2F01%2F2005date_fmt=usexch=INRexch2=expr=USDexpr2=margin_fixed=0SUBMIT=Get+Tableformat=ASCIIredirected=1' Content type 'text/html'

[R] [R-pkgs] tseries

improvements, see the ChangeLog for details Best regards Adrian Trapletti ___ R-packages mailing list [EMAIL PROTECTED] https://stat.ethz.ch/mailman/listinfo/r-packages __ R-help@stat.math.ethz.ch mailing list https

Re: [R] Constrained Nelder-Mead

All, In looking at `optim', it doesn't appear that it is possible to impose nonlinear constraints on Nelder- Mead. I am sufficiently motivated to try to code something in C from scratch and try to call it from R Does anyone have some good references to barrier and/or penalization methods

[R] Re: tseries Package for R

Wizon wrote: I am using Mac OSX. I am first starting to use R and have not installed any packages yet. I searched through the CRAN site for a Mac OSX version, but did not find one. I downloaded the tar.gz package. Will this work on the Mac? Is there a way to get a package that I don't

Re: [R] GARCH model query

Hello, I am trying to find an easy way to estimate the following: y = Function(x) + lag(x,1) + garch_error_component E.g. estimate the mean component first and then use garch from tseries on the residuals from step 1. Best Adrian Any clues? Best regards, Costas ---

Re: [R] Easy acf and pacf for irregular time series in R

R: Is there an easy way to get the acf and pacf for an irregular times series? That is, the acf and pacf with lag lengths that are in units of time, not observation number. There are several solutions available depending on the particular problem, some of them statistically cleaner than

Re: [R] optim(method=SANN)

Hello List I'm working on a combinatoric problem in which the object is to minimize the badness() of a vector. I think this class of problem is only soluble by optim() using method=SANN. The badness() of anything is = 0, and when I've found a solution with zero badness, I want optim() to stop

RE: RE: [R] ffnet problem

Given that those files are dated 27/06/2000, they are unlikely to work with the current version of R. (R has changed quite a bit since 2000!!) In fact, I stopped to support ffnet in 2000, and I would be very surprised if it would still run under the newer versions of R. Don't know why/how

Re: [R] Internal NA removal out of Time Series with na.omit.ts()

contains two time series, where one contains internal NAs (--an NA not a the end/beginning of a time serie))) Thanks a lot! Jan Verbesselt Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31, 8610 Uster Switzerland Phone Fax : +41 (0) 1 994 5631 Mobile : +41 (0) 76 370 5631

Re: [R] Internal NA removal out of Time Series with na.omit.ts()

Prof Brian Ripley wrote: On Mon, 8 Mar 2004, Adrian Trapletti wrote: The na.omit.ts() method fails when the time series contains internal NA's. How can these automatically be removed? try na.remove from tseries. This is, e.g., useful when removing weekends (NA prices) from financial

Re: [R] get.hist.quote - is great, but am I missing something?

of times and so on... -- Ajay Shah Consultant [EMAIL PROTECTED] Department of Economic Affairs http://www.mayin.org/ajayshah Ministry of Finance, New Delhi best Adrian -- Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31, 8610 Uster Switzerland Phone Fax : +41 (0) 1 994

Re: [R] How to build a AR(q)-GARCH(q) process ?

, follow A.A.Weiss: ARMA models with ARCH errors. Journal of Time Series Analysis, No. 2, Vol. 5, 1984. best Adrian -- Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31, 8610 Uster Switzerland Phone Fax : +41 (0) 1 994 5631 Mobile : +41 (0) 76 370 5631 Email : mailto:[EMAIL

Re: Re: [R] How can I test if time series residuals' are uncorrelated ?

Adrian Trapletti wrote: Ok I made Jarque-Bera test to the residuals (merv.reg$residual) library(tseries) jarque.bera.test(merv.reg$residual) X-squared = 1772.369, df = 2, p-value = 2.2e-16 And I reject the null hypotesis (H0: merv.reg$residual are normally distributed) So I know that: 1

Re: Re: [R] How can I test if time series residuals' are uncorrelated ?

distributed. The fat tails are fatter than what we would expect from the clustering of volatility). best Adrian -- Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31, 8610 Uster Switzerland Phone Fax : +41 (0) 1 994 5631 Mobile : +41 (0) 76 370 5631 Email : mailto:[EMAIL

Re: [R] How can I test if a not independently and not identically distributed time series residuals' are uncorrelated ?

): cov[residuals_t, residual_(t-k)]=0 ! How can I test that merv.reg$residuals are uncorrelated ? Thanks a lot. [[alternative HTML version deleted]] -- Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31, 8610 Uster Switzerland Phone Fax : +41 (0) 1 994 5631 Mobile : +41 (0

Re: [R] How can I test if time series residuals' are uncorrelated ?

, financial time series exhibit fat tails, i.e., are not normally distributed (and in an ARCH setup, financial time series are usually not even conditionally normally distributed. The fat tails are fatter than what we would expect from the clustering of volatility). best Adrian -- Dr. Adrian Trapletti

RE: RE: [R] Correlation test in time series

Thanks for you help, And how to test covariance = zero in time series , cov(r_t, r_t-1)=0 and r_t are homoscedastik and dependent ? How about: ?acf ?pacf in package 'ts' Box.test from package 'ts' best Adrian -- Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31

Re: [R] would like to know how to simulated a GARCH(1,2)

]+a[2]*x[i-1]^2+a[3]*v[i-1] x[i] - e[i]*sqrt(v[i]) } x - ts(x[101:1100]) x.garch - garch(x, order = c(1,1)) summary(x.garch) and accordingly the GARCH(1,2) best Adrian -- Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31, 8610 Uster Switzerland Phone Fax : +41 (0) 1 994 5631

RE: RE: [R] Cointegration

PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help best Adrian -- Dr. Adrian Trapletti Trapletti Statistical Computing Wildsbergstrasse 31, 8610 Uster Switzerland Phone Fax : +41 (0) 1 994 5631 Mobile : +41 (0) 76 370 5631 Email : mailto:[EMAIL PROTECTED] WWW : http

Re: [R] Timezones

[EMAIL PROTECTED] wrote: zdump manipulates its environment directly but is otherwise the same code. Solaris and glibc define putenv slightly differently. There are two lines like char buff[20]; in src/main/datetime.c, and if you change those to static char buff[200];

[R] Timezones

Can anybody give me a hint why as.POSIXlt doesn't recognize the same timezones that zdump knows about (Linux Suse 8.1 and Suse 7.3)? Is there a workaround? R : Copyright 2002, The R Development Core Team Version 1.6.1 (2002-11-01) R is free software and comes with ABSOLUTELY NO WARRANTY. You

[R] tseries contains a class for irregularly spaced time series

. It provides some basic functionality such as reading and writing irregular time series from files, or plotting, printing, subscripting, and interpolating irregular time series. This is a first version of the class irts and I very much welcome feedback. best Adrian -- Dr. Adrian Trapletti

[R] Re: GARCH with t-innovations

estimation procedure, however unless the residuals are Gaussian not the ideal one. best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1

[R] Re: R-help digest, Vol 1 #80 - 14 msgs

Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 UsterEmail : mailto:[EMAIL PROTECTED

[R] Re: R-help digest, Vol 1 #51 - 13 msgs

are produced. I have checked str(.Machine) and the definitions are all there. What should I do to get garch to run? Use the newest version of tseries 0.9-7. best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile