[R] Binary decision problem

Dear R Users, I am trying to use LP_SOLVE and would appreciate any assistance with the following problem: - I am trying to choose a fixed number of items out of a batch of items: say 100 out of 800 - items have certain characteristics, say characteric A, B and C - I want to maximise the sum of A a

[R] Generating a double-exponential jump diffusion process

Dear R Users, Does anyone know of a package which can generate random realisations of a double-exponential jump diffusion process with a drift ? Something where I can specify the likelihoods of an up or a down jump, the drift rate, and the mean size, and get back a vector of realisation of the

[R] Function with upper/lower bound, shift,slope,curvature

Dear R Users, I am looking for a function to use within optim s.t. - f(x,a,b,c,d,e) where I am searching over parameter values a,b,c,d,e - a is the lower bound (typically 1) - b is the upper bound (typically 0) - c,d,e give the function a shift, slope and curvature between a and b Any good candid

[R] Generating Correlated Random Variables

Dear Fellow R Users, If I have an NxN correlation matrix and want to generate N correlated random variables N(0,1), is there a simply package in R I can use ? Thanks, Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo

[R] Touch options

Hi, Does anyone know a package which prices simple one-touch options, say using Rmetrics ? I want something which simply has a discontinuous payoff if an asset touches a single level. No knock-in or knock-out features. Thanks, Tolga __ R-help@sta

Re: [R] Sending an ESC command to the console from wihtin a script

Gabor Grothendieck wrote: >RSiteSearch("clear screen") > >will locate Windows code to send a ctrl-L to the screen that you >can modify. > >On 4/24/06, Tolga Uzuner <[EMAIL PROTECTED]> wrote: > > >>Hi, >> >>Is there a way to send a

[R] Sending an ESC command to the console from wihtin a script

Hi, Is there a way to send an ESC command to the console from within a script window, without using the mouse ? Thanks, Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http:

[R] pnorm2

Hi, Has pnorm2 been dropped from sn ? Have some code using it which seems to failt with a new sn update... Thanks, Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www

[R] Kullback Liebler

Dear R Users, Does anyone have an implementation of KL apart from what is in reldist ? Something with flexibility to take in empirical data for two sets, or their CDF or their density, flagged separately for each ? Thanks __ R-help@stat.math.ethz.ch

Re: [R] Numerical Derivatives in R

icDeriv(quote(arbfun(x)), "x") >>> >>> >>[1] 9 >>attr(,"gradient") >> [,1] >>[1,]6 >> >> > >However, numericDeriv is not particularly intelligent. It is >effectively doing what Tolga was trying not

Re: [R] Numerical Derivatives in R

Thanks Gray, Tolga Gray Calhoun wrote: >Tolga, > >Look at numericDeriv. > > > >>arbfun <- function(x) x^2 >>x <- 3 >>numericDeriv(quote(arbfun(x)), "x") >> >> >[1] 9 >attr(,"gradient") > [,1] >

[R] Numerical Derivatives in R

Hi, Suppose I have an arbitrary function: arbfun<-function(x) {...} Is there a robust implementation of a numerical derivative routine in R which I can use to take it's derivative ? Something a bit more than simple division by delta of the difference of evaluating the function at x and x+delt

Re: [R] Problem with scoping a variable value

You are a star... that was it. Many thanks, Tolga -Original Message- From: Gabor Grothendieck [mailto:[EMAIL PROTECTED] Sent: 16 February 2006 20:24 To: Tolga Uzuner Cc: r-help@stat.math.ethz.ch Subject: Re: [R] Problem with scoping a variable value Without a reproducible example one

[R] Problem with scoping a variable value

Hi there, I have a function which has a variable called show as an input: richardson.grad <- function(func, x, d=0.01, eps=1e-4, r=6, show=F){ # do some things if(show) { cat("\n","first order approximations", "\n") print(a.mtr, 12) } #do more things and return }

[R] Gram-Charlier CDF

Hi there, Does anyone have something better (read faster) than the following for the CDF of an A-type Gram-Charlier expansion ? Many thanks in advance, Tolga fact <- function (x) gamma(1 + x) gc <- function(w,skew=0,kurtosis=0) # gram-charlier density # to be positive, must respect the const

Re: [R] Powell's Metod

s associated with earlier versions of the Nelder-Mead, CG and > BFGS methods implemented in optim() but in each case different > variants have best stood the course of time. > > On Sun, 15 Jan 2006, Tolga Uzuner wrote: > >> Has anyone implemented

[R] Powell's Metod

Folks, Has anyone implemented Powell's Method for minimisation in R ? Many thanks, Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

Re: [R] Problems with integrate

Gabor Grothendieck wrote: >integrate returns a list, not just the value. Try integrate(...)$value >See ?integrate for details. > >On 12/10/05, Tolga Uzuner <[EMAIL PROTECTED]> wrote: > > >>Hi, >> >>Having a weird problem with the integrate function.

[R] Problems with integrate

Hi, Having a weird problem with the integrate function. I have a function which calculates a loss density: I'd like to integrate it to get the distribution. The loss density function is: lossdensity<-function(p,Beta,R=0.4){ # the second derivative of the PDF # p is the default probability of t

Re: [R] jagged array

t; example should be 3.125. > > spencer graves > > Tolga Uzuner wrote: > >> Berton Gunter wrote: >> >> >>> Please read "An Introduction to R" and the help file for "[", where >>> this is >>> explained. If you wa

Re: [R] jagged array

Berton Gunter wrote: >Please read "An Introduction to R" and the help file for "[", where this is >explained. If you want to use R, you need to expend effort to learn it. > >-- Bert Gunter > >-Original Message- >From: [EMAIL PROTECTED] >[mailto

[R] jagged array

Hi, I have a "jagged array" which looks like this: > res ... [[996]] [1] 1.375 3.375 4.125 4.625 4.875 4.875 6.625 7.125 8.875 [[997]] [1] 1.875 5.125 6.875 7.875 9.875 [[998]] [1] 1.875 5.375 6.625 6.875 8.125 9.375 9.625 [[999]] [1] 1.875 6.875 9.875 [[1000]] [1] 1.875 6.125 6.875 9.375 9.

[R] Specifying the minimum and maximum of x and y-axis in plot

Hi, How do I specify the minimum and maximum of the x and y-axis when using plot ? Thanks, Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-g

RE: [R] Numerical PDE Solver

Thanks. I was thinking of something like Crank-Nicolson ? -Original Message- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Peter Dalgaard Sent: 21 May 2005 11:53 To: [EMAIL PROTECTED] Cc: r-help@stat.math.ethz.ch Subject: Re: [R] Numerical PDE Solver Tolga Uzuner <[EM

[R] Numerical PDE Solver

Is there a package in R which implements numerically solves pde ? Thanks, Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

[R] Suppressing warning messages

How do I suppress the following ? Warning messages: 1: the condition has length > 1 and only the first element will be used in: if (strike == forward) atmvol(forward, t, alpha, beta, rho, upsilon) else { 2: the condition has length > 1 and only the first element will be used in: if (x(z) == 0) 1 el

[R] Re: Inverse of the Laplace Transform/Gaver Stehfest algorithm

Tolga Uzuner wrote: Tolga Uzuner wrote: Hi there, Is there an implementation of the Gaveh Stehfest algorithm in R somewhere ? Or some other inversion ? Thanks, Tolga Well, at least here is Zakian's algorithm, for anyone who needs it: Zakian<-function(Fs,t){ # Fs is the function to be

[R] Re: Inverse of the Laplace Transform/Gaver Stehfest algorithm

Tolga Uzuner wrote: Hi there, Is there an implementation of the Gaveh Stehfest algorithm in R somewhere ? Or some other inversion ? Thanks, Tolga Well, at least here is Zakian's algorithm, for anyone who needs it: Zakian<-function(Fs,t){ # Fs is the function to be inverted and evalua

[R] Inverse of the Laplace Transform/Gaver Stehfest algorithm

Hi there, Is there an implementation of the Gaveh Stehfest algorithm in R somewhere ? Or some other inversion ? Thanks, Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://

[R] Re: beta distribution in terms of it's mean and standard deviation

Tolga Uzuner wrote: Hi, Is the beta distribution implemented in terms of it's mean and standard deviation, as opposed to alpha and beta, in any R package ? Thanks Tolga Hmm... answering my own question... guess there is no bijection between {alpha,beta} and {mean,variance} which i

[R] Bug in rnorm.sobol, fOptions package

I believe there is a bug in rnorm.sobol. Try hist(rnorm.sobol(2300,1200)) and compare to hist(rnorm.pseudo(2300,1200)) __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-pro

[R] beta distribution in terms of it's mean and standard deviation

Hi, Is the beta distribution implemented in terms of it's mean and standard deviation, as opposed to alpha and beta, in any R package ? Thanks Tolga __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the

Re: [R] having problems with constrOptim

,-0.050 ,0.002) theta=x ui %*% theta - ci [,1] [1,] 0.400 [2,] 0.200 [3,] 0.200 [4,] 0.950 [5,] 0.002 [6,] -1.400 [7,] -1.200 [8,] -1.200 [9,] -0.950 [10,] -1.002 try ci [1] 0 0 0 -1 0 -1 -1 -1 -1 -1 hth, ingmar On 4/9/05 12:29 PM, "Tolga Uzuner" <[EMAIL PROT

[R] having problems with constrOptim

Hi, Am having problems specifying lower and upper constraints in constrOptim... I have a function(x)->f which takes a 5 vector array the constraints on the elements of x are: x[1],x[2],x[3],x[5]>0 x[4]>-1 x[1],x[2],x[3],x[4],x[5]<1 this works: > x [1] 0.400 0.200 0.200 -0.050 0.002