Dear Specialists in R,
May be somebody has experiment in using pakage for the book Quantitative
Risk Management by McNeil?
This package is writen in R.
I have run this package for fitting the data to Nornal Inverse Gaussian
distribution and fased with following problem.
> Return<-read.csv("data.csv")
> Transpose<-t(Return)
> fit.NH(Transpose, case="NIG", symmetric=FALSE, se=FALSE)
Error: cannot allocate vector of size 57 Kb
In addition: Warning messages:
1: In var.default(data) :
Reached total allocation of 222Mb: see help(memory.size)
2: In optim(par = theta, fn = negloglik, gr = NULL, datavector = data, :
Reached total allocation of 222Mb: see help(memory.size)
3: In optim(par = theta, fn = negloglik, gr = NULL, datavector = data, :
Reached total allocation of 222Mb: see help(memory.size)
In the attachment you can find the description of the function.
the link where I took this soft is
http://cran.r-project.org/web/packages/QRMlib/index.html
Thank you in advance!
--
Best regards,
Andy
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