[Uwgarp-commits] r126 - pkg/GARPFRM/vignettes

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2014-03-22 21:53:02 +0100 (Sat, 22 Mar 2014)
New Revision: 126

Removed:
   pkg/GARPFRM/vignettes/EDA.R
Log:
Deleting pointless file in vignettes folder

Deleted: pkg/GARPFRM/vignettes/EDA.R
===================================================================
--- pkg/GARPFRM/vignettes/EDA.R	2014-03-22 20:50:51 UTC (rev 125)
+++ pkg/GARPFRM/vignettes/EDA.R	2014-03-22 20:53:02 UTC (rev 126)
@@ -1,124 +0,0 @@
-\documentclass[a4paper]{article}
-\usepackage[OT1]{fontenc}
-\usepackage{Sweave}
-\usepackage{Rd}
-\usepackage{amsmath}
-\usepackage{hyperref}
-\usepackage{url}
-\usepackage[round]{natbib}
-\usepackage{bm}
-\usepackage{verbatim}
-\usepackage[latin1]{inputenc}
-\bibliographystyle{abbrvnat}
-
-\let\proglang=\textsf
-%\newcommand{\pkg}[1]{{\fontseries{b}\selectfont #1}}
-%\newcommand{\R}[1]{{\fontseries{b}\selectfont #1}}
-%\newcommand{\email}[1]{\href{mailto:#1}{\normalfont\texttt{#1}}}
-%\newcommand{\E}{\mathsf{E}}
-%\newcommand{\VAR}{\mathsf{VAR}}
-%\newcommand{\COV}{\mathsf{COV}}
-%\newcommand{\Prob}{\mathsf{P}}
-
-\renewcommand{\topfraction}{0.85}
-\renewcommand{\textfraction}{0.1}
-\renewcommand{\baselinestretch}{1.5}
-\setlength{\textwidth}{15cm} \setlength{\textheight}{22cm} \topmargin-1cm \evensidemargin0.5cm \oddsidemargin0.5cm
-
-\usepackage[latin1]{inputenc}
-% or whatever
-
-\usepackage{lmodern}
-\usepackage[T1]{fontenc}
-% Or whatever. Note that the encoding and the font should match. If T1
-% does not look nice, try deleting the line with the fontenc.
-
-\begin{document}
-
-\title{Exploratory Data Analysis, basic probability and statistics}
-\author{Ross Bennett}
-
-\maketitle
-
-\begin{abstract}
-The goal of this vignette is to demonstrate key concepts in Financial Risk Manager (FRM (R)) Part 1: Quantitative Analysis using R and the GARPFRM package. This vignette will cover exploratory data analysis, basic probability and statistics, and linear regression.
-\end{abstract}
-
-\tableofcontents
-
-\section{Exploratory Data Analysis}
-
-Load the GARPFRM package and the \verb"returns" dataset. The \verb"returns" dataset includes weekly returns for SPY, AAPL, XOM, GOOG, MSFT, and GE from 2005-01-14 to 2013-11-22.
-<<>>=
-library(GARPFRM)
-data(returns)
-@
-
-The exploratory data analysis, basic probability and statistics will use the SPY weekly returns.
-<<>>=
-SPY.ret <- returns[, "SPY"]
-@
-
-Plot of the SPY weekly returns. 
-<<>>=
-plot(SPY.ret, main="SPY Weekly Returns")
-@
-
-The density of the SPY weekly returns is plotted to better understand its distribution. A normal density is overlayed on the plot with standard estimates of the sample mean and standard deviation. Another normal density is overlayed using robust estimates. It is clear from the chart that the robust estimates provide a better fit than the standard estimates of the sample mean and sample standard deviation, but it is not clear if the SPY returns are normally distributed.
-<<>>=
-# Plot the density of SPY Weekly Returns
-plot(density(SPY.ret), main="Density of SPY Weekly Returns")
-rug(SPY.ret)
-# sample estimates
-curve(dnorm(x, mean=mean(SPY.ret), sd=sd(SPY.ret)), 
-      add=TRUE, col="red", lty=2, lwd=2)
-# robust estimates
-curve(dnorm(x, mean=median(SPY.ret), sd=mad(SPY.ret)), 
-      add=TRUE, col="blue", lty=2, lwd=2)
-legend("topleft", legend=c("estimated density", "normal density", "robust normal density"), 
-       col=c("black", "red", "blue"), lty=c(1, 2, 2), bty="n", cex=0.8)
-@
-
-Quantile-Quantile plot of SPY weekly returns. It can be seen from the Normal Q-Q plot that the SPY returns have "fat tails".
-<<>>=
-qqnorm(SPY.ret)
-qqline(SPY.ret)
-@
-
-We can test if the SPY weekly returns came from a normal distribution using the Shapiro-Wilk test of normality. The null hypothesis is that the data came from a normal distribution. The p-value is very small and we can reject the null hypothesis.
-<<>>=
-shapiro.test(coredata(SPY.ret))
-@
-
-\subsection{Basic Statistics}
-Here calculate some basic statisitics on the SPY weekly returns.
-<<>>=
-# Sample mean of SPY return
-mean(SPY.ret)
-
-# Sample Variance of SPY returns
-var(SPY.ret)
-
-# Sample standard deviation of SPY returns
-sd(SPY.ret)
-
-# Standard error of SPY returns
-sd(SPY.ret) / sqrt(nrow(SPY.ret))
-
-# Sample skewness of SPY returns
-# See ?skewness for additional methods for calculating skewness
-skewness(SPY.ret, method="sample")
-
-# Sample kurtosis of SPY returns
-# See ?kurtosis for additional methods for calculating kurtosis
-kurtosis(SPY.ret, method="sample")
-
-# Summary statistics of SPY returns
-summary(SPY.ret)
-
-# Sample quantiles of SPY returns
-quantile(SPY.ret, probs=c(0, 0.25, 0.5, 0.75, 1))
-@
-
-
-\end{document}
\ No newline at end of file