[R] fExtreme packages

[Spencer Graves]

Hello:

	  The problem is not you.  I just tried:

library(fBasics)
xmpfBasics()

	  I run R under XEmacs, and this command caused my version of XEmacs to 
hang.  After waiting 15 minutes, I was able to break out of it. 
However, I did not get the intended result.  This is tragically typical 
of my personal experience with Rmetrics packages.

	  The Rmetrics project is breathtaking in scope but deficient in 
execution.  I believe it works well for Prof. Diethelp Wuertz's classes 
at the Swiss Federal Institute of Technology, and he is to be commended 
for making it available for others.  Indeed, he has done a superhuman 
job with what he has created.  However, the Rmetrics packages would be 
much more useful if Prof. Wuertz could find a way to recruit a team of 
collaborators who would prioritize needed improvements and attack them 
as a team, in roughly the way the R Project itself is managed.  I 
sincerely hope that these comments are not interpreted as criticisms of 
Prof. Wuertz;  he certainly has accomplished more than I could have. 
Rather, I hope only to suggest a possible vision of potentially broader, 
more collaborative effort.

	  If you want to learn time series (and financial time series) in R, I 
will recommend to you the path that I have found most useful in my own 
stidy of time series capabilities in R:

	  1.  Read the chapter on time series in Venable and Ripley (2002) 
Modern Applied Statistics with S, 4th ed. (Springer).  This book is my 
primary reference for almost anything R other than "help", 
"help.search", "RSiteSearch" and the other free documentation.  The 
chapter on time series is an excellent introduction to basic R time 
series capabilities.

	  2.  I'd follow this by studying carefully the "R Help Desk" article 
on "Date and Time Classes in R" by Gabor Grothendieck and Thomas 
Petzoldt in R News, vol. 4/1, June 2004.

	  3.  Install the "zoo" package and work through the two "vignettes" 
associated therewith.  (Note:  The "vignette" documentation is a bit 
sparse.  If you work through the examples NOT using Emacs, you will find 
that you can create a "*.R" file containing the R commands in the 
vignette.  I've found this a very powerful way to learn.  For a way to 
do this with Emacs, try RSiteSearch for that.)

	  4.  Depending on your interests, you might follow this with the "dse" 
bundle.

	  5.  Subscribe to "R-sig-finance" if you don't already.  Questions 
like this might get a better reception from this specialized list. 
However, I don't have adequate experience to say that.  Thus, I would 
suggest persistence.  Some questions generate a genuine "feeding frenzy" 
of responses, while others never get answered.  To increase your chances 
of moving away from "unanswered" towards "feeding frenzy", I encourage 
you to follow the posting guide! "www.R-project.org/posting-guide.html". 
  Your question below suggests you may have already done so, but I felt 
obligated to repeat the suggestion nonetheless.  If you don't get an 
answer in 24 hours, feel free to post a similar question.  However, 
please reword your question to clarify and simplify the issue as much as 
possible.

	  6.  I'm currently trying to create a companion package for Ruey Tsay 
(2005) Analysis of Financial Time Series, 2nd ed. (Wiley).  I've found 
this book to be quite useful for study of financial time series, though 
not for study of R capabilities in that area.

	  7.  Finally, continue doing what you already are doing.  I think R 
has substantial capabilities for what you want, but they are not 
unfortunately well organized.

	  hope this helps.
	  spencer graves

morlanes at cc.hut.fi wrote:

>  
> Hello, 
>  
> I am a new user of R. I am trying to use the packages fBasics and fExtremes 
> when i am running the examples I get few error. Could someone tell me what is 
> happenig? Thank you beforehand. 
>  
> from Fbasics packages: 
>  
>  xmpfBasics() 
> Error in file(file, "r") : unable to open connection 
> In addition: Warning message: 
> cannot open file '/usr/lib/R/library/fBasics/demoIndex'  
>  
> 
>>source("fBasics-xmpTools") 
> 
> Error in file(file, "r", encoding = encoding) :  
> 	unable to open connection 
> In addition: Warning message: 
> cannot open file 'fBasics-xmpTools'  
>  
> from fExtremes: 
>  
>  data(danish) 
> xmpExtremes("\nStart: Simulate a GPD Distributed Sample > ") 
>  x = gpdSim(model = list(shape = 0.25, location = 0, scale = 1), n = 1000) 
> Error in rgpd(n = n, xi = model$shape, mu = model$location, beta = 
> model$scale) : unused argument(s) (mu ...) 
>  
>  fit = gpdFit(danish, threshold = 10, type = "mle") 
> 
>> par(mfrow = c(1, 1)) 
>> gpdtailPlot(fit, main = "Danish Fire: GPD Tail Estimate", col = 
> 
> "steelblue4")  
> Error in as.numeric(gpd.obj$upper.exceed) :  
> 	argument "gpd.obj" is missing, with no default
> 
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