[R-SIG-Finance] Time Varying Higher Moments - racd?

[Alexios Ghalanos]

Hi Mark,

You are probably using the nig or ghyp distributions which do not have a closed form quantile function so it is evaluating it for every point (which is expensive!). Try the jsu distribution instead...it is very flexible and fast to evaluate.

Best,

Alexios

> On 28 May 2014, at 16:13, Mark Knecht <markknecht at gmail.com> wrote:
> 
> Thanks Alexios. With a bit of guessing about Latex packages I got the
> appendix directory installed and the R code runs. (Mostly - The first
> 3 plots are created. I've been waiting for about 20 minutes for the
> quantile plot to finish but no results on that one yet.
> 
> Anyway, it works well enough for me to go a bit deeper now.
> 
> Cheers,
> Mark
> 
>> On Tue, May 27, 2014 at 2:08 PM, alexios ghalanos <alexios at 4dscape.com> wrote:
>> Hi Mark,
>> 
>> 1. Have a look at the "install_bitbucket" documentation. There is the
>> option I believe to pass some extra arguments to "install" via '...'.
>> Specifically the "dependencies" (logical) and "build_vignettes" arguments.
>> 2. You need to have the "appendix" package in your latex installation
>> (see the documentation of your linux flavor on how to do this).
>> 3. fftw on CRAN builds ok for everything but OSX Mavericks...I may
>> remove it going forward and use the base implementation to avoid too
>> many problematic dependencies, but would welcome any feedback on speed
>> comparisons.
>> 
>> Best,
>> 
>> Alexios
>> 
>>> On 27/05/2014 21:43, Mark Knecht wrote:
>>>> On Tue, May 27, 2014 at 12:59 PM, alexios ghalanos <alexios at 4dscape.com> wrote:
>>>> Since 2013 the development repository for my packages has moved (a
>>>> couple of time). See:
>>>> http://www.unstarched.net/r-downloads/
>>>> for latest details.
>>>> 
>>>> -Alexios
>>> 
>>> Thanks Alexios. I started reading that based on Pierre's response but
>>> I'm hung up:
>>> 
>>> 1) I needed the fftw  package to install but it wouldn't as it was not
>>> finding fftw3. I then  found fftw-3.3.3-r2 in Gentoo portage and think
>>> I got past that problem.
>>> 
>>> 2) I'm now just trying to install all the packages shown on yor
>>> r-downloads page but rmgarch won't install apparently due to (I think)
>>> Latex issues. I got as far as failing due to something called texi2dvi
>>> which I found and installed from portage again, but now I have this
>>> problem due to a missing appendix.sty file I think.
>>> 
>>> Thanks for any pointers into what I'm doing wrong here.
>>> 
>>> Cheers,
>>> Mark
>>> 
>>> 
>>> R version 3.1.0 (2014-04-10) -- "Spring Dance"
>>> Copyright (C) 2014 The R Foundation for Statistical Computing
>>> Platform: x86_64-pc-linux-gnu (64-bit)
>>> 
>>> R is free software and comes with ABSOLUTELY NO WARRANTY.
>>> You are welcome to redistribute it under certain conditions.
>>> Type 'license()' or 'licence()' for distribution details.
>>> 
>>> R is a collaborative project with many contributors.
>>> Type 'contributors()' for more information and
>>> 'citation()' on how to cite R or R packages in publications.
>>> 
>>> Type 'demo()' for some demos, 'help()' for on-line help, or
>>> 'help.start()' for an HTML browser interface to help.
>>> Type 'q()' to quit R.
>>> 
>>>> require(devtools)
>>> Loading required package: devtools
>>> 
>>> Attaching package: ‘devtools’
>>> 
>>> The following objects are masked from ‘package:utils’:
>>> 
>>>    ?, help
>>> 
>>> The following object is masked from ‘package:base’:
>>> 
>>>    system.file
>>> 
>>>> install_bitbucket("rmgarch","alexiosg")
>>> Installing bitbucket repo(s) rmgarch/master from alexiosg
>>> Downloading master.zip from
>>> https://bitbucket.org/alexiosg/rmgarch/get/master.zip
>>> Installing package from /tmp/Rtmpwt0Tnh/master.zip
>>> arguments 'minimized' and 'invisible' are for Windows only
>>> Installing rmgarch
>>> '/usr/lib64/R/bin/R' --vanilla CMD build
>>> '/tmp/Rtmpwt0Tnh/devtools2a9e1a643c4a/alexiosg-rmgarch-d012deb54925'
>>> \
>>>  --no-manual --no-resave-data
>>> 
>>> * checking for file
>>> '/tmp/Rtmpwt0Tnh/devtools2a9e1a643c4a/alexiosg-rmgarch-d012deb54925/DESCRIPTION'
>>> ... OK
>>> * preparing 'rmgarch':
>>> * checking DESCRIPTION meta-information ... OK
>>> * cleaning src
>>> * installing the package to build vignettes
>>> * creating vignettes ... ERROR
>>> Error in texi2dvi(file = file, pdf = TRUE, clean = clean, quiet = quiet,  :
>>>  Running 'texi2dvi' on 'The_rmgarch_models.tex' failed.
>>> LaTeX errors:
>>> ! LaTeX Error: File `appendix.sty' not found.
>>> 
>>> Type X to quit or <RETURN> to proceed,
>>> or enter new name. (Default extension: sty)
>>> 
>>> ! Emergency stop.
>>> <read *>
>>> 
>>> l.9 \usepackage
>>>               [round]{natbib}^^M
>>> !  ==> Fatal error occurred, no output PDF file produced!
>>> Calls: <Anonymous> -> texi2pdf -> texi2dvi
>>> Execution halted
>>> Error: Command failed (1)
>>> 
>>>> 
>>> 
>>> 
>> 
>