Last updated on 2022-02-09 08:50:38 CET.
| Flavor | Version | Tinstall | Tcheck | Ttotal | Status | Flags |
|---|---|---|---|---|---|---|
| r-devel-linux-x86_64-debian-clang | 2.2 | 9.99 | 169.28 | 179.27 | WARN | |
| r-devel-linux-x86_64-debian-gcc | 2.2 | 6.36 | 129.81 | 136.17 | WARN | |
| r-devel-linux-x86_64-fedora-clang | 2.2 | 255.26 | WARN | |||
| r-devel-linux-x86_64-fedora-gcc | 2.2 | 226.41 | WARN | |||
| r-devel-windows-x86_64-new-UL | 2.2 | 277.00 | 307.00 | 584.00 | WARN | |
| r-devel-windows-x86_64-new-TK | 2.2 | ERROR | ||||
| r-patched-linux-x86_64 | 2.2 | 7.01 | 177.98 | 184.99 | OK | |
| r-release-linux-x86_64 | 2.2 | 6.84 | 179.76 | 186.60 | OK | |
| r-release-macos-arm64 | 2.2 | OK | ||||
| r-release-macos-x86_64 | 2.2 | OK | ||||
| r-release-windows-ix86+x86_64 | 2.2 | 31.00 | 272.00 | 303.00 | OK | |
| r-oldrel-macos-x86_64 | 2.2 | OK | ||||
| r-oldrel-windows-ix86+x86_64 | 2.2 | 28.00 | 257.00 | 285.00 | OK |
Version: 2.2
Check: re-building of vignette outputs
Result: WARN
Error(s) in re-building vignettes:
...
--- re-building 'Anx1.Rnw' using Sweave
--- finished re-building 'Anx1.Rnw'
--- re-building 'Anx10.Rnw' using Sweave
Loading required package: caschrono
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: forecast
--- finished re-building 'Anx10.Rnw'
--- re-building 'Anx12.Rnw' using Sweave
Loading required package: fGarch
Loading required package: timeDate
Loading required package: timeSeries
Attaching package: 'timeSeries'
The following object is masked from 'package:zoo':
time<-
Loading required package: fBasics
Loading required package: xtable
Attaching package: 'xtable'
The following object is masked from 'package:timeSeries':
align
The following object is masked from 'package:timeDate':
align
Error: processing vignette 'Anx12.Rnw' failed with diagnostics:
chunk 32 (label = previreal.Loreal)
Error in .cbind.ts(list(...), .makeNamesTs(...), dframe = FALSE, union = TRUE) :
non-time series not of the correct length
--- failed re-building 'Anx12.Rnw'
--- re-building 'Anx2.Rnw' using Sweave
--- finished re-building 'Anx2.Rnw'
--- re-building 'Anx3.Rnw' using Sweave
--- finished re-building 'Anx3.Rnw'
--- re-building 'Anx4.Rnw' using Sweave
Loading required package: FitARMA
Loading required package: FitAR
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
Attaching package: 'FitAR'
The following object is masked from 'package:forecast':
BoxCox
Loading required package: polynom
--- finished re-building 'Anx4.Rnw'
--- re-building 'Anx5.Rnw' using Sweave
Loading required package: dse
Loading required package: tfplot
Loading required package: tframe
Attaching package: 'dse'
The following objects are masked from 'package:forecast':
forecast, is.forecast
The following objects are masked from 'package:stats':
acf, simulate
--- finished re-building 'Anx5.Rnw'
--- re-building 'Anx6.Rnw' using Sweave
Loading required package: expsmooth
--- finished re-building 'Anx6.Rnw'
--- re-building 'Anx7.Rnw' using Sweave
--- finished re-building 'Anx7.Rnw'
--- re-building 'Anx9.Rnw' using Sweave
--- finished re-building 'Anx9.Rnw'
SUMMARY: processing the following file failed:
'Anx12.Rnw'
Error: Vignette re-building failed.
Execution halted
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc
Version: 2.2
Check: re-building of vignette outputs
Result: WARN
Error(s) in re-building vignettes:
--- re-building ‘Anx1.Rnw’ using Sweave
--- finished re-building ‘Anx1.Rnw’
--- re-building ‘Anx10.Rnw’ using Sweave
Loading required package: caschrono
Loading required package: zoo
Attaching package: ‘zoo’
The following objects are masked from ‘package:base’:
as.Date, as.Date.numeric
Loading required package: forecast
--- finished re-building ‘Anx10.Rnw’
--- re-building ‘Anx12.Rnw’ using Sweave
Loading required package: fGarch
Loading required package: timeDate
Loading required package: timeSeries
Attaching package: ‘timeSeries’
The following object is masked from ‘package:zoo’:
time<-
Loading required package: fBasics
Loading required package: xtable
Attaching package: ‘xtable’
The following object is masked from ‘package:timeSeries’:
align
The following object is masked from ‘package:timeDate’:
align
Error: processing vignette 'Anx12.Rnw' failed with diagnostics:
chunk 32 (label = previreal.Loreal)
Error in .cbind.ts(list(...), .makeNamesTs(...), dframe = FALSE, union = TRUE) :
non-time series not of the correct length
--- failed re-building ‘Anx12.Rnw’
--- re-building ‘Anx2.Rnw’ using Sweave
--- finished re-building ‘Anx2.Rnw’
--- re-building ‘Anx3.Rnw’ using Sweave
--- finished re-building ‘Anx3.Rnw’
--- re-building ‘Anx4.Rnw’ using Sweave
Loading required package: FitARMA
Loading required package: FitAR
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
Attaching package: ‘FitAR’
The following object is masked from ‘package:forecast’:
BoxCox
Loading required package: polynom
--- finished re-building ‘Anx4.Rnw’
--- re-building ‘Anx5.Rnw’ using Sweave
Loading required package: dse
Loading required package: tfplot
Loading required package: tframe
Attaching package: ‘dse’
The following objects are masked from ‘package:forecast’:
forecast, is.forecast
The following objects are masked from ‘package:stats’:
acf, simulate
--- finished re-building ‘Anx5.Rnw’
--- re-building ‘Anx6.Rnw’ using Sweave
Loading required package: expsmooth
--- finished re-building ‘Anx6.Rnw’
--- re-building ‘Anx7.Rnw’ using Sweave
--- finished re-building ‘Anx7.Rnw’
--- re-building ‘Anx9.Rnw’ using Sweave
--- finished re-building ‘Anx9.Rnw’
SUMMARY: processing the following file failed:
‘Anx12.Rnw’
Error: Vignette re-building failed.
Execution halted
Flavors: r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64-new-UL
Version: 2.2
Check: running R code from vignettes
Result: ERROR
Errors in running code in vignettes:
when running code in 'Anx12.Rnw'
> owidth <- getOption("width")
> options(width = 60, continue = "+ ", warn = -1)
> .PngNo <- 0
> nom.fich = "anx12-bitmap-"
> require(caschrono)
Loading required package: caschrono
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
> set.seed(1618)
> nobs = 300
> zt = rnorm(nobs + 10)
> sig2 = rep(0, nobs + 10)
> epsil = sig2
> y = sig2
> for (i in 2:(nobs + 10)) {
+ sig2[i] <- 0.1 + 0.9 * epsil[i - 1]^2
+ epsil[i] <- sig2[i]^0.5 * zt[i]
+ y[i] <- 5 + epsil[i]
+ }
> y <- y[-(1:10)]
> require(fGarch)
Loading required package: fGarch
Loading required package: timeDate
Loading required package: timeSeries
Attaching package: 'timeSeries'
The following object is masked from 'package:zoo':
time<-
Loading required package: fBasics
> spec.1 <- garchSpec(model = list(mu = 5, omega = 0.1,
+ alpha = 0.9, beta = 0), rseed = 397)
> archsim.1 <- garchSim(extended = TRUE, spec.1, n = 300,
+ n.start = 10)
> head(archsim.1, 2)
GMT
garch sigma eps
2021-04-14 5.172777 0.3175684 0.5440636
2021-04-15 4.668813 0.3561837 -0.9298203
> moyenne <- mean(archsim.1[, 1])
> ret <- c(6, 12, 18)
> a1 <- Box.test.2(archsim.1[, 1], ret, type = "Box-Pierce",
+ decim = 8)
> a2 <- Box.test.2((archsim.1[, 1] - moyenne)^2, ret,
+ type = "Box-Pierce", decim = 8)
> a3 <- Box.test.2(archsim.1[, 3]^2, ret, type = "Box-Pierce",
+ decim = 8)
> a123 <- cbind(a1, a2[, 2], a3[, 2])
> colnames(a123) <- c("Retard", "p.val y1", "p.val y1 centre carre",
+ "p.val z_t")
> require(xtable)
Loading required package: xtable
Attaching package: 'xtable'
The following object is masked from 'package:timeSeries':
align
The following object is masked from 'package:timeDate':
align
> xtable(a123, caption = "Test de blancheur, p-values",
+ label = "blanc.y", digits = 4)
% latex table generated in R 4.2.0 by xtable 1.8-4 package
% Tue Feb 8 08:10:05 2022
\begin{table}[ht]
\centering
\begin{tabular}{rrrrr}
\hline
& Retard & p.val y1 & p.val y1 centre carre & p.val z\_t \\
\hline
1 & 6.0000 & 0.0987 & 0.0000 & 0.5416 \\
2 & 12.0000 & 0.0724 & 0.0000 & 0.8543 \\
3 & 18.0000 & 0.0656 & 0.0000 & 0.8044 \\
\hline
\end{tabular}
\caption{Test de blancheur, p-values}
\label{blanc.y}
\end{table}
> spec <- garchSpec(model = list(mu = 2, omega = 0.09,
+ alpha = c(0.15, 0.3), beta = 0.4), rseed = 9647)
> var.margi = 0.09/(1 - 0.15 - 0.3 - 0.4)
> y = garchSim(spec, n = 420, extended = TRUE)
> y1 = y[21:420, 1]
> m1 = mean(y1)
> (q5 = quantile(abs(y1 - m1), probs = c(0.975, 0.98,
+ 0.985, 0.99, 0.995)))
97.5% 98% 98.5% 99% 99.5%
2.965956 3.095066 3.696268 5.500659 6.443857
> extrem985 = which(abs(y1 - m1) > q5[3])
> cat("nombre de points : ", length(extrem985), "\n")
nombre de points : 6
> y1b = y1
> y1b[extrem985] <- q5[3] * sign(y1[extrem985] - m1)
> mod1 <- garchFit(~garch(2, 1), data = y1b, trace = FALSE,
+ include.mean = TRUE)
> param = c("alpha2", "beta1")
> estim = as.matrix(coef(mod1)[param])
> vcov.par = mod1@fit$cvar[param, param]
> t.alpha = (coef(mod1)["alpha2"] - 0.3)/mod1@fit$se.coef["alpha2"]
> p.val = 2 * pnorm(-abs(t.alpha))
> cat("p-value : ", p.val, "\n")
p-value : 0.5430931
> theo = as.matrix(c(0.3, 0.4))
> differ = estim - theo
> khi = t(differ) %*% solve(vcov.par) %*% differ
> cat("stat de test et p-value : ", c(khi, 1 - pchisq(khi,
+ df = 2)), "\n")
stat de test et p-value : 0.942412 0.624249
> data(csdl)
> aa = returns(csdl, percentage = TRUE)
> aab = aa[complete.cases(aa) == TRUE, ]
> r.csdl = zoo(aab, as.POSIXct(row.names(aab)))
> r.lor <- window(r.csdl[, "L_Oreal"], start = "2007-12-28")
> r.lor.0 = r.lor[1:(length(r.lor) - 51)]
> r.lor.1 = r.lor[(length(r.lor) - 50):length(r.lor)]
> require("forecast")
Loading required package: forecast
> mod.r.lor = Arima(as.numeric(r.lor.0), order = c(0,
+ 0, 4), include.mean = FALSE, fixed = c(NA, NA, 0, NA))
> var.marg.est <- function(mod) {
+ param.estim <- mod@fit$par
+ std.estim <- mod@fit$se.coef
+ k <- which(names(param.estim) == "omega")
.... [TRUNCATED]
> mod.garch.lor <- garchFit(~garch(1, 1), data = as.numeric(r.lor.0),
+ trace = FALSE, include.mean = TRUE, na.action = na.pass)
> summary(mod.garch.lor)
Title:
GARCH Modelling
Call:
garchFit(formula = ~garch(1, 1), data = as.numeric(r.lor.0),
include.mean = TRUE, trace = FALSE, na.action = na.pass)
Mean and Variance Equation:
data ~ garch(1, 1)
<environment: 0x000001b9c157b7f8>
[data = as.numeric(r.lor.0)]
Conditional Distribution:
norm
Coefficient(s):
mu omega alpha1 beta1
-0.11752 0.41167 0.16990 0.77714
Std. Errors:
based on Hessian
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.11752 0.11406 -1.030 0.30285
omega 0.41167 0.21080 1.953 0.05084 .
alpha1 0.16990 0.06137 2.768 0.00564 **
beta1 0.77714 0.06733 11.542 < 2e-16 ***
---
Signif. codes:
0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Log Likelihood:
-740.5119 normalized: -2.271509
Description:
Tue Feb 8 08:10:06 2022 by user: ContainerUser
Standardised Residuals Tests:
Statistic p-Value
Jarque-Bera Test R Chi^2 36.86351 9.889845e-09
Shapiro-Wilk Test R W 0.9821095 0.0004385604
Ljung-Box Test R Q(10) 25.53336 0.004421175
Ljung-Box Test R Q(15) 33.02164 0.004661624
Ljung-Box Test R Q(20) 38.65471 0.007358024
Ljung-Box Test R^2 Q(10) 6.494036 0.7721907
Ljung-Box Test R^2 Q(15) 8.542488 0.9002
Ljung-Box Test R^2 Q(20) 10.21509 0.9641019
LM Arch Test R TR^2 6.25739 0.902555
Information Criterion Statistics:
AIC BIC SIC HQIC
4.567558 4.614023 4.567261 4.586100
> var.marg.est(mod.garch.lor)
variance marginale : 7.772921
> npred = 50
> pred.arima.lor = predict(mod.r.lor, n.ahead = npred)
> pred.garch.lor = predict(mod.garch.lor, n.ahead = npred)
> str(pred.arima.lor)
List of 2
$ pred: Time-Series [1:50] from 327 to 376: 0.32 0.779 0.62 -1.004 0 ...
$ se : Time-Series [1:50] from 327 to 376: 2.36 2.41 2.44 2.44 2.52 ...
> demi = qnorm(0.95) * pred.arima.lor$se
> binf.arima.lor = pred.arima.lor$pred - demi
> bsup.arima.lor = pred.arima.lor$pred + demi
> demi = qnorm(0.95) * pred.garch.lor$standardDeviation
> binf.garch.lor = pred.garch.lor$meanForecast - demi
> bsup.garch.lor = pred.garch.lor$meanForecast + demi
> .PngNo <- .PngNo + 1
> file = paste(nom.fich, .PngNo, sep = "")
> pdf(file = paste(file, ".pdf", sep = ""), width = 7,
+ height = 4, pointsize = 10, bg = "white")
> par(oma = rep(0.5, 4))
> mat.lor = cbind(binf.arima.lor, bsup.arima.lor, binf.garch.lor,
+ bsup.garch.lor, r.lor.1[1:npred])
When sourcing 'Anx12.R':
Error: non-time series not of the correct length
Execution halted
'Anx1.Rnw' using 'latin1'... OK
'Anx10.Rnw' using 'latin1'... OK
'Anx12.Rnw' using 'latin1'... failed
'Anx2.Rnw' using 'latin1'... OK
'Anx3.Rnw' using 'latin1'... OK
'Anx4.Rnw' using 'latin1'... OK
'Anx5.Rnw' using 'latin1'... OK
'Anx6.Rnw' using 'latin1'... OK
'Anx7.Rnw' using 'latin1'... OK
'Anx9.Rnw' using 'latin1'... OK
Flavor: r-devel-windows-x86_64-new-TK
Version: 2.2
Check: re-building of vignette outputs
Result: NOTE
Error(s) in re-building vignettes:
--- re-building 'Anx1.Rnw' using Sweave
--- finished re-building 'Anx1.Rnw'
--- re-building 'Anx10.Rnw' using Sweave
Loading required package: caschrono
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: forecast
--- finished re-building 'Anx10.Rnw'
--- re-building 'Anx12.Rnw' using Sweave
Loading required package: fGarch
Loading required package: timeDate
Loading required package: timeSeries
Attaching package: 'timeSeries'
The following object is masked from 'package:zoo':
time<-
Loading required package: fBasics
Loading required package: xtable
Attaching package: 'xtable'
The following object is masked from 'package:timeSeries':
align
The following object is masked from 'package:timeDate':
align
Error: processing vignette 'Anx12.Rnw' failed with diagnostics:
chunk 32 (label = previreal.Loreal)
Error in .cbind.ts(list(...), .makeNamesTs(...), dframe = FALSE, union = TRUE) :
non-time series not of the correct length
--- failed re-building 'Anx12.Rnw'
--- re-building 'Anx2.Rnw' using Sweave
--- finished re-building 'Anx2.Rnw'
--- re-building 'Anx3.Rnw' using Sweave
--- finished re-building 'Anx3.Rnw'
--- re-building 'Anx4.Rnw' using Sweave
Loading required package: FitARMA
Loading required package: FitAR
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
Attaching package: 'FitAR'
The following object is masked from 'package:forecast':
BoxCox
Loading required package: polynom
--- finished re-building 'Anx4.Rnw'
--- re-building 'Anx5.Rnw' using Sweave
Loading required package: dse
Loading required package: tfplot
Loading required package: tframe
Attaching package: 'dse'
The following objects are masked from 'package:forecast':
forecast, is.forecast
The following objects are masked from 'package:stats':
acf, simulate
--- finished re-building 'Anx5.Rnw'
--- re-building 'Anx6.Rnw' using Sweave
Loading required package: expsmooth
--- finished re-building 'Anx6.Rnw'
--- re-building 'Anx7.Rnw' using Sweave
--- finished re-building 'Anx7.Rnw'
--- re-building 'Anx9.Rnw' using Sweave
--- finished re-building 'Anx9.Rnw'
SUMMARY: processing the following file failed:
'Anx12.Rnw'
Error: Vignette re-building failed.
Execution halted
Flavor: r-devel-windows-x86_64-new-TK