[Riskassessment-news] Fwd: [R-SIG-Finance] fitdist in R

Tue Jan 3 08:55:35 CET 2012

Please find an answer to your fitdistrplus problem below.

Kind regards

Christophe
________________________________________________________________

library(fitdistrplus)

A <- structure(list(V1 = c(-0.00707717, -0.000947418, -0.00189753, 
-0.000474947, -0.00190205, -0.000476077, 0.00237812, 0.000949668, 
0.000474496, 0.00284226, -0.000473149, -0.000473373, 0, 0, 0.00283688, 
-0.0037843, -0.0047506, -0.00238379, -0.00286807, 0.000478583, 
0.000478354, -0.00143575, 0.00143575, 0.00238835, 0.0042847, 
0.00237248, -0.00142281, -0.00142484, 0, 0.00142484, 0.000948767, 
0.00378609, -0.000472478, 0.000472478, -0.0014181, 0, -0.000946522, 
-0.00284495, 0, 0.00331832, 0.00283554, 0.00141476, -0.00141476, 
-0.00188947, 0.00141743, -0.00236351, 0.00236351, 0.00235794, 
0.00235239, -0.000940292, -0.0014121, -0.00283019, 0.000472255, 
0.000472032, 0.000471809, -0.0014161, 0.0014161, -0.000943842, 
0.000472032, -0.000944287, -0.00094518, -0.00189304, -0.000473821, 
-0.000474046, 0.00331361, -0.000472701, -0.000946074, 0.00141878, 
-0.000945627, -0.00189394, -0.00189753, -0.0057143, -0.00143369, 
-0.00383326, 0.00143919, 0.000479272, -0.00191847, -0.000480192, 
0.000960154, 0.000479731, 0, 0.000479501, 0.000958313, -0.00383878, 
-0.00240674, 0.000963391, 0.000962464, -0.00192586, 0.000481812, 
-0.00241138, -0.00144963)), .Names = "V1", row.names = c(NA, 
-91L), class = "data.frame")

#your data are very small 
summary(A$V1)

#fit dist does not converge with parameter
fitdist(A$V1,"norm",method="mge",gof="CvM")

#arguments are correctly specified
?fitdist

#equivalent call of mgedist -> same problem
mgedist(A$V1,"norm",gof="CvM")

#with uniform distribution it works
fitdist(A$V1,"unif",method="mge")

#as well as with mme and mle
fitdist(A$V1,"norm",method="mme")
fitdist(A$V1,"norm",method="mle")

#so the problem comes with the mean or the sd parameters of the normal distribution.
#as returns a result, sd is the problem
mgedist(A$V1,"norm",gof="CvM", fix.arg=list(sd=sd(A$V1)), start=list(mean=0))

#fixing a lower bound for sd returns a result
mgedist(A$V1,"norm",gof="CvM", lower=c(-1, .01))

#but the appropriate answer to your problem is to rescale your data.
#it works perfectly.
mgedist(1000*A$V1,"norm",gof="CvM", lower=c(-1, 1e-3))
#we don't even need to use lower bounds.
mgedist(1000*A$V1,"norm",gof="CvM")

#looking at the source code of mgedist, one can see, that the distance
#of Cramer von Mises is defined as follows.
fnobj <- function(par, fix.arg, obs, pdistnam) {
                n <- length(obs)
                s <- sort(obs)
                theop <- do.call(pdistnam, c(list(q = s), as.list(par), 
                  as.list(fix.arg)))
                1/(12 * n) + sum((theop - (2 * seq(1:n) - 1)/(2 * 
                  n))^2)
            }

#a NaN is produced with negative sd            
fnobj(c(1,1), NULL, A$V1, pnorm)
fnobj(c(mean=1,sd=1), NULL, A$V1, pnorm)
fnobj(c(mean=0,sd=0), NULL, A$V1, pnorm)
fnobj(c(mean=0,sd=-1), NULL, A$V1, pnorm)

--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr

Début du message réexpédié :

> De : Joshua Ulrich <josh.m.ulrich at gmail.com>
> Date : 3 janvier 2012 04:39:47 HNEC
> À : financial engineer <fin_engr at hotmail.com>
> Cc : r-sig-finance at r-project.org
> Objet : Rép : [R-SIG-Finance] fitdist in R
> 
> If you're going to cross-post
> (http://stackoverflow.com/q/8707562/271616), please have the courtesy
> to explicitly say so.  Otherwise, answers to your question may be
> scattered across multiple sites.
> 
> On Mon, Jan 2, 2012 at 9:16 PM, financial engineer <fin_engr at hotmail.com> wrote:
>> 
>> apologies if this should be a general R question, but if someone has any suggestions to fix the problem, I'd certainly appreciate it.
>> 
> If you feel the need to start your email with an apology, you are
> probably doing something wrong.  You're correct, this isn't a finance
> question and is therefore off-topic.
> 
>> I am using the fitdist function in the package fitdistrplus in R.
>> 
>> I have the following data that I read using
>> A<-read.table("test.dat")`
>> this is the entire dataset
>>> A
>>             V1
>> 1  -0.007077170
>> 2  -0.000947418
>> 3  -0.001897530
>> 4  -0.000474947
>> 5  -0.001902050
>> 6  -0.000476077
>> 7   0.002378120
>> 8   0.000949668
>> 9   0.000474496
>> 10  0.002842260
>> 11 -0.000473149
>> 12 -0.000473373
>> 13  0.000000000
>> 14  0.000000000
>> 15  0.002836880
>> 16 -0.003784300
>> 17 -0.004750600
>> 18 -0.002383790
>> 19 -0.002868070
>> 20  0.000478583
>> 21  0.000478354
>> 22 -0.001435750
>> 23  0.001435750
>> 24  0.002388350
>> 25  0.004284700
>> 26  0.002372480
>> 27 -0.001422810
>> 28 -0.001424840
>> 29  0.000000000
>> 30  0.001424840
>> 31  0.000948767
>> 32  0.003786090
>> 33 -0.000472478
>> 34  0.000472478
>> 35 -0.001418100
>> 36  0.000000000
>> 37 -0.000946522
>> 38 -0.002844950
>> 39  0.000000000
>> 40  0.003318320
>> 41  0.002835540
>> 42  0.001414760
>> 43 -0.001414760
>> 44 -0.001889470
>> 45  0.001417430
>> 46 -0.002363510
>> 47  0.002363510
>> 48  0.002357940
>> 49  0.002352390
>> 50 -0.000940292
>> 51 -0.001412100
>> 52 -0.002830190
>> 53  0.000472255
>> 54  0.000472032
>> 55  0.000471809
>> 56 -0.001416100
>> 57  0.001416100
>> 58 -0.000943842
>> 59  0.000472032
>> 60 -0.000944287
>> 61 -0.000945180
>> 62 -0.001893040
>> 63 -0.000473821
>> 64 -0.000474046
>> 65  0.003313610
>> 66 -0.000472701
>> 67 -0.000946074
>> 68  0.001418780
>> 69 -0.000945627
>> 70 -0.001893940
>> 71 -0.001897530
>> 72 -0.005714300
>> 73 -0.001433690
>> 74 -0.003833260
>> 75  0.001439190
>> 76  0.000479272
>> 77 -0.001918470
>> 78 -0.000480192
>> 79  0.000960154
>> 80  0.000479731
>> 81  0.000000000
>> 82  0.000479501
>> 83  0.000958313
>> 84 -0.003838780
>> 85 -0.002406740
>> 86  0.000963391
>> 87  0.000962464
>> 88 -0.001925860
>> 89  0.000481812
>> 90 -0.002411380
>> 91 -0.001449630
>> `
>> I ran the following command:
>> 
>>> fitdist(A$V1,"norm",method="mge",gof="CvM")`
>> 
>> and it generates the following:
>> Fitting of the distribution ' norm ' by maximum goodness-of-fit
>> Parameters:
>>  estimate
>> 1       NA
>> 2       NA
>> Warning message:
>> In pnorm(q, mean, sd, lower.tail, log.p) : NaNs produced
>> 
>> given the above error message, I ran the below:
>>> mu=mean(A$V1)
>>> sigma=sd(A$V1)
>>> mu
>> [1] -0.0003091273
>>> sigma
>> [1] 0.002051825
>>> pnorm(A$V1,mu,sigma)
>>  [1] 0.0004859313 0.3778682282 0.2194235651 0.4677942525 0.2187728328
>>  [6] 0.4675752645 0.9048490462 0.7302272325 0.6487379052 0.9377179215
>> [11] 0.4681427154 0.4680993016 0.5598779146 0.5598779146 0.9373956798
>> [16] 0.0451612910 0.0152074342 0.1559769817 0.1061704134 0.6494763806
>> [21] 0.6494350178 0.2914741494 0.8024493726 0.9056899734 0.9874187360
>> [26] 0.9043830715 0.2936417791 0.2933012328 0.5598779146 0.8009684336
>> [31] 0.7300820807 0.9770270687 0.4682727654 0.6483730677 0.2944326177
>> [36] 0.5598779146 0.3780342225 0.1082503682 0.5598779146 0.9614622560
>> [41] 0.9373152170 0.7995942319 0.2949940199 0.2205866970 0.7999587855
>> [46] 0.1583537921 0.9036385181 0.9031740418 0.9027096003 0.3791890228
>> [51] 0.2954414771 0.1095934742 0.6483327428 0.6482924162 0.6482520879
>> [56] 0.2947687275 0.7997772412 0.3785308577 0.6482924162 0.3784483801
>> [61] 0.3782828856 0.2200710780 0.4680124750 0.4679688685 0.9612699580
>> [66] 0.4682295443 0.3781172281 0.8001429585 0.3782000541 0.2199411992
>> [71] 0.2194235651 0.0042152418 0.2918187280 0.0429384302 0.8029149383
>> [76] 0.6496008197 0.2164182554 0.4667778828 0.7319136560 0.6496837100
>> [81] 0.5598779146 0.6496421754 0.7316179594 0.0426934572 0.1533157552
>> [86] 0.7324331764 0.7322844499 0.2153633562 0.6500594259 0.1527813896
>> [91] 0.2891573876
>> 
>> now I am confused why I am getting an error message about NaN's.......anyone have any suggestions what might be the reason....thanks, Bobby
>> 
>>        [[alternative HTML version deleted]]
>> 
>> _______________________________________________
>> R-SIG-Finance at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions should go.
> 
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.