[Riskassessment-news] [R-SIG-Finance] fitdist in R
financial engineer
fin_engr at hotmail.com
Tue Jan 3 14:31:12 CET 2012
Thanks Christophe,
I appreciate your response.
I tried to fit a cauchy distribution as well - is it again a scaling issue with that distribution as well because these are the results I got...
> fitdist(A$V1,"cauchy",method="mle")
Error in fitdist(A$V1, "cauchy", method = "mle") :
the function mle failed to estimate the parameters,
with the error code 100
In addition: Warning message:
In dcauchy(x, location, scale, log) : NaNs produce
>fitdist(A$V1*10^5,"cauchy",method="mle")
Fitting of the distribution ' cauchy ' by maximum likelihood
Parameters:
estimate Std. Error
location -29.03782 20.90514
scale 119.30992 15.61003
> Subject: Fwd: [R-SIG-Finance] fitdist in R
> From: dutangc at gmail.com
> Date: Tue, 3 Jan 2012 08:55:35 +0100
> CC: RiskAssessment-News at lists.r-forge.r-project.org; ml.delignette at vetagro-sup.fr
> To: fin_engr at hotmail.com; josh.m.ulrich at gmail.com
>
> Please find an answer to your fitdistrplus problem below.
>
> Kind regards
>
> Christophe
> ________________________________________________________________
>
>
> library(fitdistrplus)
>
>
> A <- structure(list(V1 = c(-0.00707717, -0.000947418, -0.00189753,
> -0.000474947, -0.00190205, -0.000476077, 0.00237812, 0.000949668,
> 0.000474496, 0.00284226, -0.000473149, -0.000473373, 0, 0, 0.00283688,
> -0.0037843, -0.0047506, -0.00238379, -0.00286807, 0.000478583,
> 0.000478354, -0.00143575, 0.00143575, 0.00238835, 0.0042847,
> 0.00237248, -0.00142281, -0.00142484, 0, 0.00142484, 0.000948767,
> 0.00378609, -0.000472478, 0.000472478, -0.0014181, 0, -0.000946522,
> -0.00284495, 0, 0.00331832, 0.00283554, 0.00141476, -0.00141476,
> -0.00188947, 0.00141743, -0.00236351, 0.00236351, 0.00235794,
> 0.00235239, -0.000940292, -0.0014121, -0.00283019, 0.000472255,
> 0.000472032, 0.000471809, -0.0014161, 0.0014161, -0.000943842,
> 0.000472032, -0.000944287, -0.00094518, -0.00189304, -0.000473821,
> -0.000474046, 0.00331361, -0.000472701, -0.000946074, 0.00141878,
> -0.000945627, -0.00189394, -0.00189753, -0.0057143, -0.00143369,
> -0.00383326, 0.00143919, 0.000479272, -0.00191847, -0.000480192,
> 0.000960154, 0.000479731, 0, 0.000479501, 0.000958313, -0.00383878,
> -0.00240674, 0.000963391, 0.000962464, -0.00192586, 0.000481812,
> -0.00241138, -0.00144963)), .Names = "V1", row.names = c(NA,
> -91L), class = "data.frame")
>
> #your data are very small
> summary(A$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.
>
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