[R-SIG-Finance] Errors in assetsFit function of fPortfolio package

[Brian G. Peterson]

On 01/30/2014 08:20 PM, Mark Knecht wrote:
> On Thu, Jan 30, 2014 at 5:41 PM, Mohammad Nikzad <mnikzad at willamette.edu> wrote:
>> Dear Sir/Madam
>>
>> I get an error when I run a assetsFit function of fPortfolio package.
>>
>> You just need to load the fPortfolio package and run this command to get
>> the same error that I get. The only fitting method that works is "norm"
>> function.The "snorm" and "st" methods give error.
>>
>> library(fPortfolio)
>> fit <- assetsFit(LPP2005.RET[, 1:3], method = "st")
>>
>> Error in .mvstFit(x = x, fixed.df = fixed.df, trace = trace, ...) :
>> could not find function "mst.mle"
>>
>> Thank you in advance for your help.
>>
>> Best,
>>
>> Arsa Nikzad
>
>
> The sos package could help you. Running
>
> findFn("mst.mle")
>
> says it's part of a package called "sn".

The 'sn' package recently changed on CRAN, breaking backwards 
compatibility in basically all of its functions, and departing from the 
standardized format of most R  distribution p,d,q,r and fitting 
functions in favor of a more mathematical notation, without providing 
wrappers to the old functions or useful transition documentation.

We're currently working on replacing 'sn' with another source for the 
skewed Student's-t distributions in packages we maintain as well.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock