Hi all I used the "pspd" function from the SPD package last year and I'm running the code again, but it seems to throw an error now.
I checked with data from the "rugarch" package and the error is still thrown. data(sp500ret) # in the "rugarch" package sp = sp500ret class(sp) # is a "data.frame" class sp=as.ts(sp) # I tried with and without this step # standard GARCH model: spec = ugarchspec(variance.model=list(model="sGARCH",garchOrder=c(1,1), submodel=NULL,external.regressors=NULL,variance.targeting=F), mean.model=list(armaOrder=c(0,0),include.mean=T,external.regressors=NULL), distribution.model="std") tempgarch = ugarchfit(spec=spec,data=sp,solver="hybrid") # fitting the SPD: (1) std.resid.sp = residuals(tempgarch,standardize=T) class(std.resid.sp) # "xts" "zoo" (2) stdResid.sp = as.ts(std.resid.sp) # NOTE: I tried (1) with and (2) without this step class(stdResid.sp) # "ts" # the problem: (1) fit.sp = spdfit(std.resid.sp, upper=0.9, lower=0.1, tailfit="GPD", type="mle", kernelfit="normal", information="observed", title=NULL, description=NULL) sp.unif.variates = pspd(std.resid.sp, fit.sp, linear=T) Error in UseMethod("pspd") : no applicable method for 'pspd' applied to an object of class "c('xts', 'zoo')" (2) fit.sp = spdfit(stdResid.sp, upper=0.9, lower=0.1, tailfit="GPD", type="mle", kernelfit="normal", information="observed", title=NULL, description=NULL) sp.unif.variates = pspd(stdResid.sp, fit.sp, linear=T) Error in UseMethod("pspd") : no applicable method for 'pspd' applied to an object of class "ts" >From sessionInfo(), I have SPD package version as: spd_2.0-1 (i.e., it seems to be up to date). I don't think Can anyone help out with a solution? Many thanks Gareth Additional: packageDescription("spd") Package: spd Type: Package Title: Semi Parametric Distribution Version: 2.0-1 Date: 2015-07-02 ... [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.