[R-SIG-Finance] fitdist in R

[Joshua Ulrich]

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On Mon, Jan 2, 2012 at 9:16 PM, financial engineer <fin_engr at hotmail.com> wrote:
>
> apologies if this should be a general R question, but if someone has any suggestions to fix the problem, I'd certainly appreciate it.
>
If you feel the need to start your email with an apology, you are
probably doing something wrong.  You're correct, this isn't a finance
question and is therefore off-topic.

> I am using the fitdist function in the package fitdistrplus in R.
>
> I have the following data that I read using
> A<-read.table("test.dat")`
> this is the entire dataset
>> A
>             V1
> 1  -0.007077170
> 2  -0.000947418
> 3  -0.001897530
> 4  -0.000474947
> 5  -0.001902050
> 6  -0.000476077
> 7   0.002378120
> 8   0.000949668
> 9   0.000474496
> 10  0.002842260
> 11 -0.000473149
> 12 -0.000473373
> 13  0.000000000
> 14  0.000000000
> 15  0.002836880
> 16 -0.003784300
> 17 -0.004750600
> 18 -0.002383790
> 19 -0.002868070
> 20  0.000478583
> 21  0.000478354
> 22 -0.001435750
> 23  0.001435750
> 24  0.002388350
> 25  0.004284700
> 26  0.002372480
> 27 -0.001422810
> 28 -0.001424840
> 29  0.000000000
> 30  0.001424840
> 31  0.000948767
> 32  0.003786090
> 33 -0.000472478
> 34  0.000472478
> 35 -0.001418100
> 36  0.000000000
> 37 -0.000946522
> 38 -0.002844950
> 39  0.000000000
> 40  0.003318320
> 41  0.002835540
> 42  0.001414760
> 43 -0.001414760
> 44 -0.001889470
> 45  0.001417430
> 46 -0.002363510
> 47  0.002363510
> 48  0.002357940
> 49  0.002352390
> 50 -0.000940292
> 51 -0.001412100
> 52 -0.002830190
> 53  0.000472255
> 54  0.000472032
> 55  0.000471809
> 56 -0.001416100
> 57  0.001416100
> 58 -0.000943842
> 59  0.000472032
> 60 -0.000944287
> 61 -0.000945180
> 62 -0.001893040
> 63 -0.000473821
> 64 -0.000474046
> 65  0.003313610
> 66 -0.000472701
> 67 -0.000946074
> 68  0.001418780
> 69 -0.000945627
> 70 -0.001893940
> 71 -0.001897530
> 72 -0.005714300
> 73 -0.001433690
> 74 -0.003833260
> 75  0.001439190
> 76  0.000479272
> 77 -0.001918470
> 78 -0.000480192
> 79  0.000960154
> 80  0.000479731
> 81  0.000000000
> 82  0.000479501
> 83  0.000958313
> 84 -0.003838780
> 85 -0.002406740
> 86  0.000963391
> 87  0.000962464
> 88 -0.001925860
> 89  0.000481812
> 90 -0.002411380
> 91 -0.001449630
> `
> I ran the following command:
>
>>fitdist(A$V1,"norm",method="mge",gof="CvM")`
>
> and it generates the following:
> Fitting of the distribution ' norm ' by maximum goodness-of-fit
> Parameters:
>  estimate
> 1       NA
> 2       NA
> Warning message:
> In pnorm(q, mean, sd, lower.tail, log.p) : NaNs produced
>
> given the above error message, I ran the below:
>> mu=mean(A$V1)
>> sigma=sd(A$V1)
>> mu
> [1] -0.0003091273
>> sigma
> [1] 0.002051825
>> pnorm(A$V1,mu,sigma)
>  [1] 0.0004859313 0.3778682282 0.2194235651 0.4677942525 0.2187728328
>  [6] 0.4675752645 0.9048490462 0.7302272325 0.6487379052 0.9377179215
> [11] 0.4681427154 0.4680993016 0.5598779146 0.5598779146 0.9373956798
> [16] 0.0451612910 0.0152074342 0.1559769817 0.1061704134 0.6494763806
> [21] 0.6494350178 0.2914741494 0.8024493726 0.9056899734 0.9874187360
> [26] 0.9043830715 0.2936417791 0.2933012328 0.5598779146 0.8009684336
> [31] 0.7300820807 0.9770270687 0.4682727654 0.6483730677 0.2944326177
> [36] 0.5598779146 0.3780342225 0.1082503682 0.5598779146 0.9614622560
> [41] 0.9373152170 0.7995942319 0.2949940199 0.2205866970 0.7999587855
> [46] 0.1583537921 0.9036385181 0.9031740418 0.9027096003 0.3791890228
> [51] 0.2954414771 0.1095934742 0.6483327428 0.6482924162 0.6482520879
> [56] 0.2947687275 0.7997772412 0.3785308577 0.6482924162 0.3784483801
> [61] 0.3782828856 0.2200710780 0.4680124750 0.4679688685 0.9612699580
> [66] 0.4682295443 0.3781172281 0.8001429585 0.3782000541 0.2199411992
> [71] 0.2194235651 0.0042152418 0.2918187280 0.0429384302 0.8029149383
> [76] 0.6496008197 0.2164182554 0.4667778828 0.7319136560 0.6496837100
> [81] 0.5598779146 0.6496421754 0.7316179594 0.0426934572 0.1533157552
> [86] 0.7324331764 0.7322844499 0.2153633562 0.6500594259 0.1527813896
> [91] 0.2891573876
>
> now I am confused why I am getting an error message about NaN's.......anyone have any suggestions what might be the reason....thanks, Bobby
>
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>
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