[R-SIG-Finance] rnorm.sobol problems (from fOptions)

[Christophe Dutang]

Chris, 

By the way, sobol and halton sequences have been transfered from fBasics to the randtoolbox package. You can download it on CRAN: http://cran.r-project.org/web/packages/randtoolbox/ .

Christophe

Le 17 févr. 2010 à 10:54, Martin Becker a écrit :

> Chris,
> 
> although rnorm.sobol should not cause a segfault, you should not expect it to work for dimensions greater than 1111, as 1111 is the (documented, see ?rnorm.sobol) maximal dimension for rnorm.sobol.
> Regards,
> Martin
> 
> 
> Chris Masters wrote:
>> Hi
>> 
>> I'm having issues calling rnorm.sobol in the fOptions package. Is this a
>> known issue? (with a lower dimension it works fine)
>> 
>> ---
>> 
>> R version 2.10.1 (2009-12-14)
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>>  
>>> library(fOptions)
>>>    
>> Loading required package: timeDate
>> Loading required package: timeSeries
>> Loading required package: fBasics
>> Loading required package: MASS
>> Rmetrics Package fOptions (2100.76) loaded.
>>  
>>> rnorm.sobol(30,1500)
>>>    
>> 
>> *** caught segfault ***
>> address 0x7f3867c487a8, cause 'invalid permissions'
>> 
>> Traceback:
>> 1: .Fortran("sobol", as.double(qn), as.integer(n),
>> as.integer(dimension),
>> as.double(.getfOptionsEnv(".rnorm.sobol.seed")$quasi),
>> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$ll),
>> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$count),
>> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$sv),
>> as.integer(scrambling),
>> as.integer(.getfOptionsEnv(".rnorm.sobol.seed")$seed),     as.integer(init),
>> as.integer(1), PACKAGE = "fOptions")
>> 2: rnorm.sobol(30, 1500)
>> 
>> 
>> ---
>> 
>> 
>> Thanks
>> 
>> Chris
>> 
>> 	[[alternative HTML version deleted]]
>> 
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> 
> 
> -- 
> Dr. Martin Becker
> Statistics and Econometrics
> Saarland University
> Campus C3 1, Room 206
> 66123 Saarbruecken
> Germany
> 
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--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr