[Returnanalytics-commits] r3666 - in pkg/Dowd: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jun 9 23:12:48 CEST 2015
Author: dacharya
Date: 2015-06-09 23:12:47 +0200 (Tue, 09 Jun 2015)
New Revision: 3666
Added:
pkg/Dowd/R/MEFPlot.R
pkg/Dowd/R/NormalQQPlot.R
pkg/Dowd/man/MEFPlot.Rd
pkg/Dowd/man/NormalQQPlot.Rd
Modified:
pkg/Dowd/NAMESPACE
Log:
MEFPlot and NormalQQPlot: source and documentation.
Modified: pkg/Dowd/NAMESPACE
===================================================================
--- pkg/Dowd/NAMESPACE 2015-06-09 09:52:29 UTC (rev 3665)
+++ pkg/Dowd/NAMESPACE 2015-06-09 21:12:47 UTC (rev 3666)
@@ -27,6 +27,8 @@
export(KSTestStat)
export(KuiperTestStat)
export(LopezBacktest)
+export(MEFPlot)
+export(NormalQQPlot)
export(PickandsEstimator)
export(PickandsPlot)
export(ProductCopulaVaR)
Added: pkg/Dowd/R/MEFPlot.R
===================================================================
--- pkg/Dowd/R/MEFPlot.R (rev 0)
+++ pkg/Dowd/R/MEFPlot.R 2015-06-09 21:12:47 UTC (rev 3666)
@@ -0,0 +1,33 @@
+#' Mean Excess Function Plot
+#'
+#' Plots mean-excess function values of the data set.
+#'
+#' @param Ra Vector data
+#'
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
+#'
+#' @author Dinesh Acharya
+#' @examples
+#'
+#' # Plots
+#' Ra <- rnorm(1000)
+#' MEFPlot(Ra)
+#'
+#' @export
+MEFPlot <- function(Ra){
+ data <- as.vector(Ra)
+ if (!is.vector(data)) {
+ stop("Input should be a vector data.")
+ }
+ u <- data
+ n <- length(u)
+ mef <-
+ for (i in 1:n - 1) {
+ data <- data[which(data > u[i])]
+ mef[i] <- mean(data) - u[i]
+ }
+ u <- u[!u==max(u)]
+ plot(u, mef, type = "l", xlab = "Threshold", ylab = "e(u)",
+ main = "Empirical Mean Excess Function")
+
+}
\ No newline at end of file
Added: pkg/Dowd/R/NormalQQPlot.R
===================================================================
--- pkg/Dowd/R/NormalQQPlot.R (rev 0)
+++ pkg/Dowd/R/NormalQQPlot.R 2015-06-09 21:12:47 UTC (rev 3666)
@@ -0,0 +1,126 @@
+#' Normal Quantile Quantile Plot
+#'
+#' Produces an emperical QQ-Plot of the quantiles of the data set 'Ra' versus
+#' the quantiles of a normal distribution. The purpose of the quantile-quantile plot is to determine whether the sample in 'Ra' is drawn from a normal (i.e., Gaussian) distribution.
+#'
+#' @param Ra Vector data set
+#'
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
+#'
+#' @author Dinesh Acharya
+#' @examples
+#'
+#' # Description of example
+#' Example
+#'
+#' @export
+NormalQQPlot <- function(Ra){
+
+ x <- as.vector(Ra)
+ if (!is.vector(x)) {
+ stop("Input should be a vector.")
+ }
+ mu <- mean(x)
+ sigma <- sd(x)
+ y <- sort(x)
+ a <- PlotPos(y)
+ x <- a$pp
+ n <- a$n
+ x <- qnorm(x, mu, sigma) # This is theoretical normal quantile
+ xx <- x
+ yy <- y
+
+ # Dowd's code has following details but since his code does not work for
+ # matrices with rows, columns > 1, it is not efficient to have it here.
+ # if(((dim(x)[1] == n) | (dim(x)[1] == 1 & dim(x)[2] == n)) & ~any(is.nan(x))){
+ # xx <- sort(x)
+ # } else {
+ # xx <- quantile(x, pvec)[[1]]
+ # }
+ #
+ # if(((dim(y)[1] == n) | (dim(y)[1] == 1 & dim(y)[2] == n)) & ~any(is.nan(y))){
+ # yy <- sort(y)
+ # } else {
+ # yy <- quantile(y, pvec)[[1]]
+ # }
+ xx <- sort(x)
+ yy <- sort(y)
+
+ q1x <- quantile(x, .25)[[1]]
+ q3x <- quantile(x, .75)[[1]]
+ q1y <- quantile(y, .25)[[1]]
+ q3y <- quantile(y, .75)[[1]]
+ qx <- matrix(c(q1x,q3x), 2, length(q1x))
+ qy <- matrix(c(q1y,q3y), 2, length(q1y))
+
+ dx <- q3x - q1x
+ dy <- q3y - q1y
+ slope <- dy/dx
+ centerx <- (q1x + q3x)/2
+ centery <- (q1y + q3y)/2
+ maxx <- max(x)
+ minx <- min(x)
+ maxy <- centery + slope * (maxx - centerx)
+ miny <- centery - slope * (centerx - minx)
+
+ mx <- matrix(c(minx,maxx), 2, length(minx))
+ my <- matrix(c(miny,maxy), 2, length(miny))
+
+ xmin <- min(xx, qx, mx)
+ xmax <- max(xx, qx, mx)
+ ymin <- min(yy, qy, my)
+ ymax <- max(yy, qy, my)
+
+ plot(xx, yy, type = "p", pch=3, col="red", xlab = "Normal Quantiles",
+ ylab = "Quantiles of Input Sample",
+ main = "QQ Plot of Sample Data versus Normal",
+ xlim = c(xmin, xmax), ylim = c(ymin, ymax))
+ par(new = TRUE)
+ plot(qx, qy, type = "l", col="blue", xlab = "Normal Quantiles",
+ ylab = "Quantiles of Input Sample",
+ main = "QQ Plot of Sample Data versus Normal",
+ xlim = c(xmin, xmax), ylim = c(ymin, ymax))
+ par(new = TRUE)
+ plot(mx, my, type = "l", xlab = "Normal Quantiles",
+ ylab = "Quantiles of Input Sample",
+ main = "QQ Plot of Sample Data versus Normal",
+ xlim = c(xmin, xmax), ylim = c(ymin, ymax))
+
+}
+
+# Helper Functions
+
+# Position PLot
+PlotPos <- function(Ra){
+ #
+ sx <- as.matrix(Ra)
+ if (!is.matrix(sx)) {
+ stop("Input should be a matrix.")
+ }
+ n <- dim(sx)[1]
+ m <- dim(sx)[2]
+ if (n == 1){
+ sx <- t(sx)
+ n = m
+ m = 1
+ }
+ nvec <- sum(!is.nan(sx))
+ pp <- RepMat(as.matrix(1:n), 1, m)
+ pp <- (pp - .5)/ RepMat(nvec, n, 1)
+ pp[is.nan(sx)] <- NaN
+
+ if (nargs() > 1){
+ n <- max(nvec)
+ }
+ return(list("pp" = pp, "n" = n))
+
+}
+
+# Implementation of repmat from matlab in R
+RepMat <- function(X,m,n){
+ X <- as.matrix(X)
+ mx <- dim(X)[1]
+ nx <- dim(X)[2]
+ a <- matrix(t(matrix(X, mx, nx * n)), mx * m, nx * n, byrow = T)
+ return(a)
+}
\ No newline at end of file
Added: pkg/Dowd/man/MEFPlot.Rd
===================================================================
--- pkg/Dowd/man/MEFPlot.Rd (rev 0)
+++ pkg/Dowd/man/MEFPlot.Rd 2015-06-09 21:12:47 UTC (rev 3666)
@@ -0,0 +1,26 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/MEFPlot.R
+\name{MEFPlot}
+\alias{MEFPlot}
+\title{Mean Excess Function Plot}
+\usage{
+MEFPlot(Ra)
+}
+\arguments{
+\item{Ra}{Vector data}
+}
+\description{
+Plots mean-excess function values of the data set.
+}
+\examples{
+# Plots
+ Ra <- rnorm(1000)
+ MEFPlot(Ra)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
Added: pkg/Dowd/man/NormalQQPlot.Rd
===================================================================
--- pkg/Dowd/man/NormalQQPlot.Rd (rev 0)
+++ pkg/Dowd/man/NormalQQPlot.Rd 2015-06-09 21:12:47 UTC (rev 3666)
@@ -0,0 +1,26 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/NormalQQPlot.R
+\name{NormalQQPlot}
+\alias{NormalQQPlot}
+\title{Normal Quantile Quantile Plot}
+\usage{
+NormalQQPlot(Ra)
+}
+\arguments{
+\item{Ra}{Vector data set}
+}
+\description{
+Produces an emperical QQ-Plot of the quantiles of the data set 'Ra' versus
+the quantiles of a normal distribution. The purpose of the quantile-quantile plot is to determine whether the sample in 'Ra' is drawn from a normal (i.e., Gaussian) distribution.
+}
+\examples{
+# Description of example
+ Example
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+
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