issue with disag_model() function from disaggregation R package - r

I was trying to use the disaggregation package to evaluate if it could be used on the dataset I have. My original data are disaggregated, so I've aggregated them to use the disag_model function from disaggregation package and compare "fitted values" with actual values.
However when I run the function the R session aborts.
I tried to execute the disag_model function step by step and I saw that the problem is due to the use of nlminb() to optimize the a posteriori density function, but I cannot understand why it's happening and how to solve it.
Thanks for your help.
You can find the data I used at this link: https://www.dropbox.com/sh/au7l0e11trzfo19/AACpfRSUpd4gRCveUsh5JX6Ea?dl=0
Please download the folder to run the code.
This is the code I used:
library(tidyverse)
library(raster)
library(disaggregation)
library(sp)
path<- "yourPath/Data"
load(file.path(path, "myRS"))
load(file.path(path, "RAST"))
Data <- read.csv(file = paste(path, "/sim_data.csv", sep = ""))
Data$HasRes <- ifelse(Data$PN50 > runif(nrow(Data)), 1, 0)
for (i in 1:nlayers(myRS)) {
myRS#layers[[i]]#file#name<-file.path(path, "predStackl10")
}
DFCov <-
as.data.frame(raster::extract(myRS, Data[c("XCoord", "YCoord")]))
Data <- cbind(Data, DFCov)
# Remove NA
NAs <- which(is.na(rowSums(Data[names(myRS)])))
Data <- Data[-NAs, ]
Data$ISO3 <- as.factor(Data$ISO3)
world_shape <-
shapefile(file.path(path, "World.shp"))
lmic_shape <-
world_shape[(world_shape#data$ISO3 %in% levels(Data$ISO3)),]
plot(lmic_shape)
# I would like to convert Data in a SpatialPointsDataFrame object
PN50 <- Data
coordinates(PN50) <- c("XCoord", "YCoord")
is.projected(PN50) # see if a projection is defined
proj4string(PN50) <- CRS("+proj=longlat +datum=WGS84")
# compute the mean P50 within each state
PN50_mean <- aggregate(x = PN50,
by = list(Data$ISO3),
FUN = mean)
# compute the centroid of the observations coordinates for each state
PN50_centroid <-
Data %>% group_by(ISO3) %>% summarise(meanX = mean(XCoord), meanY = mean(YCoord))
# assign to each mean the centroid coordinates
PN50_agg <-
as.data.frame(
cbind(
PN50_mean = PN50_mean#data$PN50,
XCoord = PN50_centroid$meanX,
YCoord = PN50_centroid$meanY
)
)
PN50_agg$XCoord <- as.numeric(PN50_agg$XCoord)
PN50_agg$YCoord <- as.numeric(PN50_agg$YCoord)
PN50_agg$ISO3 <- as.character(PN50_centroid$ISO3)
samsiz <-
Data %>% group_by(ISO3) %>% summarise(sz = sum(SampleSize))
PN50_agg$sample_size <- as.numeric(samsiz$sz)
PN50_agg$case <- round(PN50_agg$PN50_mean * PN50_agg$sample_size)
# I would like having data in a SpatialPolygonsDataFrame format to use the disaggrgation package
library(sp)
coordinates(PN50_agg) <- c("XCoord", "YCoord")
proj4string(PN50_agg) <- CRS("+proj=longlat +datum=WGS84")
PN50_polyg <- lmic_shape
PN50_polyg#data <-
full_join(PN50_polyg#data, PN50_agg#data, by = "ISO3")
# covariates raster
covariate_stack <-
getCovariateRasters(path, shape = raster(x = paste0(path, '/multi.tif')))
names(covariate_stack)
covariate_stack2 <- dropLayer(covariate_stack, nlayers(covariate_stack))
names(covariate_stack2)
plot(covariate_stack2)
covariate_stack2 <- raster::stack(covariate_stack2)
covariate_stack2<-brick(covariate_stack2)
# population raster
extracted <- raster::extract(raster(x = paste0(path, '/multi.tif')), PN50_polyg)
n_cells <- sapply(extracted, length)
PN50_polyg#data$pop_per_cell <- PN50_polyg#data$sample_size / n_cells
population_raster <-
rasterize(PN50_polyg, covariate_stack2, field = 'pop_per_cell')
# prepare data for disag_model()
dis_data <- prepare_data(
polygon_shapefile = PN50_polyg,
covariate_rasters = covariate_stack2,
aggregation_raster = population_raster,
mesh.args = list(
max.edge = c(5, 40),
cut = 0.0005,
offset = 1
),
id_var = "ISO3",
response_var = "case",
sample_size_var = "sample_size",
na.action = TRUE,
ncores = 8
)
# Rho and p(Rho<Rho_min)
dist <- pointDistance(PN50_agg#coords, lonlat = F, allpairs = T)
rownames(dist) <- PN50_agg$ISO3
colnames(dist) <- PN50_agg$ISO3
flattenDist <- function(dist) {
up <- upper.tri(dist)
flat <- data_frame(row = rownames(dist)[row(dist)[up]],
column = rownames(dist)[col(dist)[up]],
dist = dist[up])
return(flat)
}
pair_dist <- flattenDist(dist)
d <- pair_dist$dist
k <- 0.036
CorMatern <- k * d * besselK(k * d, 1)
limits <- sp::bbox(PN50_polyg)
hypontenuse <-
sqrt((limits[1, 2] - limits[1, 1]) ^ 2 + (limits[2, 2] - limits[2, 1]) ^
2)
prior_rho <- hypontenuse / 3
p_rho <- sum(d[CorMatern <= 0.1] < prior_rho) / length(d[CorMatern <= 0.1])
# sigma and p(sigma>sigma_max)
sigma_boost <- function(data, i) {
sd(data[i] / mean(data[i]))
}
sigma <-
boot(data = dis_data$polygon_data$response,
statistic = sigma_boost,
10000)
prior_sigma <- sigma$t0
p_sigma <- sum(sigma$t >= sigma$t0) / length(sigma$t)
default_priors <-
list(
priormean_intercept = 0,
priorsd_intercept = 4,
priormean_slope = 0,
priorsd_slope = 2,
prior_rho_min = prior_rho,
prior_rho_prob = p_rho,
prior_sigma_max = prior_sigma,
prior_sigma_prob = p_sigma,
prior_iideffect_sd_max = 0.1,
prior_iideffect_sd_prob = 0.01
)
fitted_model <- disag_model(
data = dis_data,
iterations = 1000,
family = "binomial",
link = "logit",
# priors = default_priors,
field = TRUE,
iid = TRUE,
silent = TRUE
)

I was able to run the disag_model function using your dis_data object. There were no errors or crashes. I ran the following lines.
fitted_model <- disag_model(
data = dis_data,
iterations = 1000,
family = "binomial",
link = "logit",
field = TRUE,
iid = TRUE,
silent = TRUE
)
I am running on a Windows machine with 64GB RAM and 8 cores. It took over an hour and used all of my RAM for a while and up to 50% of my CPU, which is not surprising as you are fitting 5.5M pixels over the whole world. Therefore, I suspect it is related to your computer running out of resources. I suggest you try a smaller example to test it out first. Try fewer polygons and fewer pixels in each polygon.

Related

Parallelizing codes for efficiency in R

I am trying a variable screening using the SIS package in R using different tunings and penalties. I have for loops which will take long for relatively large data. I am trying to parallelize this piece of code for efficiency. But I am running into some errors.
Please kindly help if you can. Thanks for your time and help.
#load library
library(parallel)
library(doParallel)
library(foreach)
library(SIS)
library(dplyr)
data('leukemia.train', package = 'SIS') #data for practice
y.train = leukemia.train[,dim(leukemia.train)[2]]
x.train = as.matrix(leukemia.train[,-dim(leukemia.train)[2]])
x.train = standardize(x.train)
#penalties for screening
penalty <- c("lasso", "SCAD", "MCP")
#storeage
RESULT <- NULL
alldat <- NULL
for(pen in penalty){
#tuning para
tune <- c("aic", "bic", "ebic", "cv")
#storage
OUT <- NULL
dat <- NULL
for(tun in tune){
#SIS model for ultra-high dimensional screening
mod=SIS(x = x.train, y = y.train, family = 'binomial',
penalty = pen, tune = tun, varISIS = 'aggr', seed = 21) #model
out <- mod$ix
coff <- mod$coef.est
x <- x.train %>% as.data.frame()
dat0 <- x[c(out)]
if(dim(dat0)[2] >= 1) attr(coff, "names")[-1] <- c(colnames(dat0))
df1 <- coff %>% as.data.frame()
OUT[[tun]] <- cbind(CpG = rownames(df1), data.frame(coef = df1[, 1], row.names = NULL))
names(OUT[tun]) <- paste(tun)
dat[[tun]] <- dat0
#store as list for cases
names(dat[tun]) <- paste(tun)
}
#list of all results of coef
RESULT[[pen]] <- OUT
dat #list of data sets
alldat[[pen]] <-
names(RESULT[pen]) <- paste(pen)
names(alldat[pen]) <- paste(pen)
}
#parallelize here
pentune.df <- expand.grid(
tune = c("aic", "bic", "ebic", "cv"),
penalty = c("lasso", "SCAD", "MCP")
)# use expand for to obtain possible combinations
#create and register cluster
n.cores <- parallel::detectCores() - 2
my.cluster <- parallel::makeCluster(n.cores)
doParallel::registerDoParallel(cl = my.cluster)
foreach(
tun = pentune.df$tun,
pena = pentune.df$pena,
.combine = 'list',
.packages = "SIS"
) %dopar% {
#fit model
mod <- SIS(x = x.train, y = y.train, family = 'binomial',
penalty = pena, tune = tun, varISIS = 'aggr', seed = 21)
out <- mod$ix
coff <- mod$coef.est
x <- as.data.frame(x.train)
dat0 <- x[c(out)]
if(dim(dat0)[2] >= 1) attr(coff, "names")[-1] <- c(colnames(dat0))
df1 <- as.data.frame(coff)
OUT <- return(cbind(CpG = rownames(df1), data.frame(coef = df1[, 1], row.names = NULL)))
}
parallel::stopCluster(cl = my.cluster) #end job
normally it is best if you can narrow in on the error that you are getting it makes it easier to help. The main issue seemed to be simplifying your iterator within the foreach and ensuring the penalty and tune variables for SIS
are character. The expand.grid function is exactly what you need but the resulting columns are factors. So these need to be converted back when inserting into the SIS function.
Finally, in your last line of the %dopar% {} don't define a variable and you don't need to return. The last object returns automatically. So you can remove OUT <- return().
I have added some comments in the code below to indicate exactly what I have changed.
foreach(
i = 1:nrow(pentune.df), # define a simpler iterator
.combine = 'list',
.packages = "SIS"
) %dopar% {
# define loop variables and ensure they are character
pena <- as.character(pentune.df[i, 'penalty'])
tun <- as.character(pentune.df[i, 'tune'])
#fit model
mod <- SIS(x = x.train, y = y.train, family = 'binomial',
penalty = pena, tune = tun, varISIS = 'aggr', seed = 21)
out <- mod$ix
coff <- mod$coef.est
x <- as.data.frame(x.train)
dat0 <- x[c(out)]
if(dim(dat0)[2] >= 1) attr(coff, "names")[-1] <- c(colnames(dat0))
df1 <- as.data.frame(coff)
# don't define a variable here just create the object you want
cbind(CpG = rownames(df1), data.frame(coef = df1[, 1], row.names = NULL))
}

Facebook Prophet: Hyperparameter Tuning on Monthly Data

I am using the Prophet model to forecast revenue for my company and one of the challenges i currently face is being able to modify the code in order to leverage the hyperparameter tuning features for monthly data. From my understanding, the code on the FB prophet site is designed to tune on daily data, not monthly. However, I have read somewhere (can't seem to find the post) where it can be tweaked for monthly data.
Has anyone been able to figure this out? Would love some help! I'm not a programmer and have been leveraging low code platforms to build this out so would really appreciate a fellow coder's help in solving this issue!
Here's the code that I'm using:
# Conditional Install
cond.install <- function(package.name){
options(repos = "http://cran.rstudio.com") #set repo
#check for package in library, if package is missing install
if(package.name%in%rownames(installed.packages())==FALSE) {
install.packages(package.name, .libPaths()[2])}else{require(package.name, character.only = TRUE)}}
# conditionally install package
cond.install('forecast')
cond.install('prophet')
cond.install('rBayesianOptimization')
cond.install('dplyr')
cond.install('lubridate')
library(dplyr)
library(lubridate)
library(forecast)
library(prophet)
library(rBayesianOptimization)
#reading data
cv_set <- read.Alteryx("#1", mode="data.frame")
valid <- read.Alteryx("#2", mode="data.frame")
#make sure the date format is defined
cv_set$ds <- as.Date(cv_set$ds)
date_seq <- as.Date(valid$ds)
#define hyper search parameter
rand_search_grid = data.frame(
changepoint_prior_scale = sort(runif(10, 0.01, 20)),
seasonality_prior_scale = c(sort(sample(c(runif(5, 0.01, 0.05), runif(5, 1, 20)), 5, replace = F)),
sort(sample(c(runif(5, 0.01, 0.05), runif(5, 1, 20)), 5, replace = F))),
n_changepoints = sample(5:50, 10, replace = F)
)
#Define deafult function for prophet. Change Linear to Logistic cap setting
prophet_fit_bayes = function(changepoint_prior_scale, seasonality_prior_scale, n_changepoints) {
error = c()
for (d in date_seq) {
train = subset(cv_set, ds < d)
test = subset(cv_set, ds == d)
m = prophet(train, growth = 'linear',
seasonality.prior.scale = seasonality_prior_scale,
changepoint.prior.scale = changepoint_prior_scale,
n.changepoints = n_changepoints,
weekly.seasonality = F,
daily.seasonality = F)
future = make_future_dataframe(m, periods = 1)
# NOTE: There's a problem in function names with library(caret)
forecast = predict(m, future)
forecast$ds = as.Date(forecast$ds)
error_d = forecast::accuracy(forecast[forecast$ds %in% test$ds, 'yhat'], test$y)[ , 'MAPE']
error = c(error, error_d)
}
## The function wants to _maximize_ the outcome so we return
## the negative of the resampled MAPE value. `Pred` can be used
## to return predicted values but we'll avoid that and use zero
list(Score = -mean(error), Pred = 0)
}
changepoint_bounds = range(rand_search_grid$changepoint_prior_scale)
n_changepoint_bounds = as.integer(range(rand_search_grid$n_changepoints))
seasonality_bounds = range(rand_search_grid$seasonality_prior_scale)
bayesian_search_bounds = list(changepoint_prior_scale = changepoint_bounds,
seasonality_prior_scale = seasonality_bounds,
n_changepoints = as.integer(n_changepoint_bounds))
#rBayesian parameters. Assume n_iteration is 1 for demo purpose
ba_search = BayesianOptimization(prophet_fit_bayes,
bounds = bayesian_search_bounds,
init_grid_dt = rand_search_grid,
init_points = 1,
n_iter = %Question.iteration.var%,
acq = 'ucb',
kappa = 1,
eps = 0,
verbose = TRUE)
best_params_ba = c(ba_search$Best_Par)
#Start Prophet
# Holiday Setting
custom1 <- data_frame(
holiday = 'custom1',
ds = as.Date(c('1991-12-31')))
custom2 <- data_frame(
holiday = 'custom2',
ds = as.Date(c('1992-12-31', '1993-01-01')))
holidays <- bind_rows(custom1, custom2)
if ('%Question.noholiday.var%' == "True") {
m = prophet(cv_set, growth = 'linear',
seasonality.prior.scale = best_params_ba[['seasonality_prior_scale']],
changepoint.prior.scale = best_params_ba[['changepoint_prior_scale']],
n.changepoints = best_params_ba[['n_changepoints']])
}
if ('%Question.holiday.var%' == "True") {
m <- prophet(holidays = holidays, growth = 'linear',
seasonality.prior.scale = best_params_ba[['seasonality_prior_scale']],
changepoint.prior.scale = best_params_ba[['changepoint_prior_scale']],
n.changepoints = best_params_ba[['n_changepoints']])
m <- add_country_holidays(m, country_name = '%Question.country.var%')
m <- fit.prophet(m, cv_set)
}
future <- make_future_dataframe(m, periods = %Question.forecast.var%)
forecast <- predict(m, future)
yhat <- as.data.frame(forecast$yhat)
yhat_l <- as.data.frame(forecast$yhat_lower)
yhat_u <-as.data.frame(forecast$yhat_upper)
trend <- as.data.frame(forecast$trend)
df1 <- cbind(yhat, yhat_l, yhat_u, trend)
write.Alteryx(df1, 1)
AlteryxGraph(3, width=576, height=576)
plot(m, forecast) + add_changepoints_to_plot(m)
invisible(dev.off())
AlteryxGraph(4, width=576, height=576)
prophet_plot_components(m, forecast)
invisible(dev.off())
#Output best params for reference
df5 <- best_params_ba
write.Alteryx(df5, 5)
You can specify custom seasonality. So you would just define a custom seasonality called monthly and define the period length. You can view the documentation here.
# R
m <- prophet(weekly.seasonality=FALSE)
m <- add_seasonality(m, name='monthly', period=30.5, fourier.order=5)
m <- fit.prophet(m, df)
forecast <- predict(m, future)
prophet_plot_components(m, forecast)

Rolling window with Copulas

I would like to apply a rolling window to fit a student t Copula and then to do a forecast based on the results from the fitting process. I already tried it with a for loop, but it always state errors according to the fit Copula command.
#Students t Copula
windowsSize <- 4000 # training data size
testsize <- 351 # number of observations to forecast
for(k in 0:33) # run 34 experiments
{
A <- k*testsize + 1
B <- A + windowsSize - 1
start_obs <- A
end_obs <- B
lgYen_roll <- lgYenUSD[A:B]
lgEuro_roll <- lgEuroUSD[A:B]
ElgYen_roll <- ElgYenUSD[A:B]
ElgEuro_roll <- ElgEuroUSD[A:B
StdlgYen_roll <- StdlgYenUSD[A:B]
StdlgEuro_roll <- StdlgEuroUSD[A:B]
CopYenEuro_roll <- pobs(as.matrix(cbind(lgYen_roll,lgEuro_roll)))
YenEuro_fit_t_roll <- fitCopula(t.cop,CopYenEuro_roll,method=c('ml'), posDef = is(t.cop, "ellipCopula"),
start = NULL, lower = NULL, upper = NULL,
optim.method = optimMeth(t.cop, method,dim=d),
optim.control = list(maxit=1000),
estimate.variance = NA, hideWarnings = FALSE)
Here occurs already the first error: "Error in if (any(u < 0) || any(u > 1)) stop("'u' must be in [0,1] -- probably rather use pobs(.)") :
missing value where TRUE/FALSE needed"
CO_YenEuro_roll_rho <- coef(YenEuro_fit_t_roll)[1]
CO_YenEuro_roll_df <- coef(YenEuro_fit_t_roll)[2]
YenEurocopula_dist_t_roll <- mvdc(copula=tCopula(param = CO_YenEuro_roll_rho,dim=2), margins=c("norm","norm"),
paramMargins = list(list(mean=ElgYen_roll, sd=StdlgYen_roll),
list(mean=ElgEuro_roll, sd=StdlgEuro_roll)),
check = TRUE, fixupNames = TRUE)
YenEurocopula_random_t_roll.dist <- rMvdc(351,YenEurocopula_dist_t_roll)
#Prediction
A <- B + 1
B <- B + testsize
lgYen_roll <- lgYenUSD[A:B]
lgEuro_roll <- lgEuroUSD[A:B]
ElgYen_roll <- ElgYenUSD[A:B]
ElgEuro_roll <- ElgEuroUSD[A:B]
StdlgYen_roll <- StdlgYenUSD[A:B]
StdlgEuro_roll <- StdlgEuroUSD[A:B]
predict_EXT <- matrix(0, testsize, 1)
for(i in 1:testsize) # do the forecast based on the Copula Fit results
{
predict_EXT[i] <- fitCopula(t.cop,CopYenEuro_rolling[i],method=c('ml'), posDef = is(t.cop, "ellipCopula"),
start = NULL, lower = NULL, upper = NULL,
optim.method = optimMeth(t.cop, method,dim=d),
optim.control = list(maxit=1000),
estimate.variance = NA, hideWarnings = TRUE)
YenEurocopula_dist_t_roll <- mvdc(copula=tCopula(param = CO_YenEuro_roll_rho[i],dim=2), margins=c("norm","norm"),
paramMargins = list(list(mean=ElgYen_roll[i], sd=StdlgYen_roll[i]),
list(mean=ElgEuro_roll[i], sd=StdlgEuro_roll[i])),
check = TRUE, fixupNames = TRUE)
YenEurocopula_random_t_roll.dist <- rMvdc(351,YenEurocopula_dist_t_roll[i])
}}
Maybe someone has a solution to this problem?

Updating Arima in Data.Table

A very small version of my problem goes like this:
I have a number of time series
library(data.table)
library(forecast)
library(tidyverse)
x <-arima.sim(list(order = c(1,1,0), ar = 0.7), n = 100)
y <- arima.sim(list(order = c(1,1,0), ar = 0.1), n = 100)
data <- data.frame(x,y) %>% gather(var,value) # place into a data.frame
And I have modeled these with the fantastic forecast package, using auto.arima and data.table (in reality I have 400+ ts)
models <- setDT(data)[,list(model=list(auto.arima(value))), by = var]
Which works wonders, my question is how do I update the Arima models for new data?
I have been trying to do something along the lines of
models <-setDT(data)[,list(model=list(Arima(value, model = models$model))), by = var]
But am having no luck!
I have a solution - but would love to know if there is a more R/data.table way to do this?
Note: As I was working to a solution, I changed the data to simulated ARIMA processes - to make sure the models were being updated correctly.
Solution:
x <-arima.sim(list(order = c(1,1,0), ar = 0.7), n = 100)
y <- arima.sim(list(order = c(1,1,0), ar = 0.1), n = 100)
data <- data.frame(x,y) %>% gather(var,value) # place into a data.frame
models <- setDT(data)[,list(model=list(auto.arima(value))), by = var]
x <-arima.sim(list(order = c(1,1,0), ar = 0.7), n = 200)
y <- arima.sim(list(order = c(1,1,0), ar = 0.1), n = 200)
data_updated <- data.frame(x,y) %>% gather(var,value) # place updated data into data.frame
data_updated <- setDT(data_updated)[, list(dat=list(value)), by = var] # turn this into lists
#Use a loop to update the models
for(i in unique(models$var)){
models[var == paste0(i)][[1,2]] <- Arima(data_updated[var == paste0(i)][[1,2]] ,model = models[var == paste0(i)][[1,2]])
}

Error in R-script: error in abs (alpha) non-numeric argument to mathematical function

I am trying to reproduce some results from the book "Financial Risk Modelling and Portfolio Optimisation with R" and I get an error that I can't seem to get my head around.
I get the following error in the COPPosterior function:
error in abs(alpha) : non-numeric argument to mathematical function
Is anyone able to see why I get the error?
The error is from the following script:
library(urca)
library(vars)
library(fMultivar)
## Loading data set and converting to zoo
data(EuStockMarkets)
Assets <- as.zoo(EuStockMarkets)
## Aggregating as month-end series
AssetsM <- aggregate(Assets, as.yearmon, tail, 1)
head(AssetsM)
## Applying unit root tests for sub-sample
AssetsMsub <- window(AssetsM, start = start(AssetsM),
end = "Jun 1996")
## Levels
ADF <- lapply(AssetsMsub, ur.df, type = "drift",
selectlags = "AIC")
ERS <- lapply(AssetsMsub, ur.ers)
## Differences
DADF <- lapply(diff(AssetsMsub), ur.df, selectlags = "AIC")
DERS <- lapply(diff(AssetsMsub), ur.ers)
## VECM
VEC <- ca.jo(AssetsMsub, ecdet = "none", spec = "transitory")
summary(VEC)
## Index of time stamps in back test (extending window)
idx <- index(AssetsM)[-c(1:60)]
ANames <- colnames(AssetsM)
NAssets <- ncol(AssetsM)
## Function for return expectations
f1 <- function(x, ci, percent = TRUE){
data <- window(AssetsM, start = start(AssetsM), end = x)
Lobs <- t(tail(data, 1))
vec <- ca.jo(data, ecdet = "none", spec = "transitory")
m <- vec2var(vec, r = 1)
fcst <- predict(m, n.ahead = 1, ci = ci)
LU <- matrix(unlist(fcst$fcst),
ncol = 4, byrow = TRUE)[, c(2, 3)]
RE <- rep(0, NAssets)
PView <- LU[, 1] > Lobs
NView <- LU[, 2] < Lobs
RE[PView] <- (LU[PView, 1] / Lobs[PView, 1] - 1)
RE[NView] <- (LU[NView, 1] / Lobs[NView, 1] - 1)
names(RE) <- ANames
if(percent) RE <- RE * 100
return(RE)
}
ReturnEst <- lapply(idx, f1, ci = 0.5)
qv <- zoo(matrix(unlist(ReturnEst),
ncol = NAssets, byrow = TRUE), idx)
colnames(qv) <- ANames
tail(qv)
library(BLCOP)
library(fPortfolio)
## Computing returns and EW-benchmark returns
R <- (AssetsM / lag(AssetsM, k = -1) -1.0) * 100
## Prior distribution
## Fitting of skewed Student's t distribution
MSTfit <- mvFit(R, method = "st")
mu <- c(MSTfit#fit[["beta"]])
S <- MSTfit#fit[["Omega"]]
skew <- c(MSTfit#fit[["alpha"]])
df <- MSTfit#fit[["df"]]
CopPrior <- mvdistribution("mvst", dim = NAssets, mu = mu,
Omega = S, alpha = skew, df = df)
## Pick matrix and view distributions for last forecast
RetEstCop <- ReturnEst[[27]]
RetEstCop
PCop <- matrix(0, ncol = NAssets, nrow = 3)
colnames(PCop) <- ANames
PCop[1, ANames[1]] <- 1
PCop[2, ANames[2]] <- 1
PCop[3, ANames[4]] <- 1
Sds <- apply(R, 2, sd)
RetViews <- list(distribution("norm", mean = RetEstCop[1],
sd = Sds[1]),
distribution("norm", mean = RetEstCop[2],
sd = Sds[2]),
distribution("norm", mean = RetEstCop[4],
sd = Sds[4])
)
CopViews <- COPViews(pick = PCop, viewDist = RetViews,
confidences = rep(0.5, 3),
assetNames = ANames)
## Simulation of posterior
NumSim <- 10000
CopPost <- COPPosterior(CopPrior, CopViews,
numSimulations = NumSim)
print(CopPrior)
print(CopViews)
slotNames(CopPost)
look at the structure of MSTfit:
str(MSTfit)
You can see that if you want the estimated alpha value, you need to access it via:
MSTfit#fit$estimated[['alpha']]
rather than
MSTfit#fit[['alpha']]

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