StackOverflow2013

Note that there are some explanatory texts on larger screens.

plurals

POHow to fit a normal inverse gaussian distribution to my data using optim
primarykey
Id
16646355
data
AcceptedAnswerId
0
AnswerCount
1
ClosedDate
CommentCount
1
CommunityOwnedDate
CreationDate
2013-05-20T09:24:06.660
FavoriteCount
0
LastActivityDate
2013-05-20T09:29:33.100
LastEditDate
LastEditorUserId
0
OwnerUserId
2270337
ParentId
0
PostTypeId
1
Score
0
ViewCount
887
LastEditorDisplayName
text
Body
Please forgive my lack of knowledge,.I would be very thankful for some help. Here is my problem: I was using optim to estimate parameters of a model and I get this error message "Error in optim(x0, fn = riskll, method = "L-BFGS-B", lower = lbs, upper = ubs, : L-BFGS-B needs finite values of 'fn'" Below is the R code I have written. <pre><code>library('GeneralizedHyperbolic') data=read.table(file="MSCI_USA.csv",sep=',',header=T) data=data[1:8173,] #starting value x0 <- c(-0.011,0.146, 0.013, 0.639, 0.059,0.939, -0.144 , 1.187, 1.601, -0.001) #lower bound and upper bound lbs <- c(-5, -5, -5, -0.99999, 0.00001, 0, -1, 0.1, 1.2000001, -2) ubs<- c( 5, 5, 10, 0.99999, 5, 2, 0, 3, 1000, 10) #the likelihood function riskll <- function(data,para) { m0 <- para[1] m1 <- para[2] omega <- para[3] tau <- para[4] a <- para[5] b <- para[6] beta <- para[7] theta <- para[8] gamma <- para[9] phi <- para[10] T <- nrow(data) ret <- data[,2]; rate <- data[,3] exret=100*(ret+1-((rate/100)+1)^(1/365)) h = rep(0,T); vx = rep(0,T); h[1] = 10000*exret[1]^2 vx[1] = (exret[1]-m0-(m1+beta*((gamma^0.5)/(gamma^2+beta^2)^0.5))*h[1])/h[1] for ( i in (2:T) ) { h[i] = (omega+a*(abs(h[i-1]*vx[i-1])-tau*h[i-1]*vx[i-1])^theta+b*(h[i- 1]^theta))^(1/theta) vx[i] = (exret[i]-phi*exret[i-1]-m0-(m1+beta*((gamma^0.5)/(gamma^2+beta^2)^0.5))*h[i])/h[i] } mu = -1*beta*((gamma^0.5)/(gamma^2+beta^2)^0.5) delta=((gamma^1.5)/(gamma^2+beta^2)^0.5) alpha=gamma beta=beta param = c(mu, delta, alpha, beta) riskll <- -1*sum(log(dnig(vx,param=param))) return(riskll) } #optimization optim(x0,fn=riskll,method ="L-BFGS-B",lower=lbs,upper=ubs, data = data) </code></pre>
Tags
<r>
Title
How to fit a normal inverse gaussian distribution to my data using optim
singulars
PostAcceptedAnswerId
1. This table or related slice is empty.
PostParentId
1. This table or related slice is empty.
PostTypePostTypeId
1. PTQuestion
UserLastEditorUserId
1. This table or related slice is empty.
UserOwnerUserId
1. USuser2270337
plurals
PostLinksPostIdRelatedPostId
1. This table or related slice is empty.
PostLinksRelatedPostIdPostId
1. This table or related slice is empty.
PostsAcceptedAnswerId
1. This table or related slice is empty.
PostsParentIdCreationDate
1. PO
 singulars
 PostTypePostTypeId
 PTAnswer
VotesPostIdCreationDate
1. This table or related slice is empty.
CommentsPostId
1. This table or related slice is empty.

Querying!

Guidance

A row detail

Detail views are divided into sections. All the information in the data section comes from columns in the selected row. The other sections display data from other, related rows.

Related data can be related in a to-one or a to-many fashion. Captions of data related in a to-many fashion link to a list view showing a filtered view of the table.

Try moving around until you find a non-empty to-many entry and click on the label to get to one. You can move back to the root by clicking on the database name in the header.