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committed 184c4dd

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• Parent commits 61bdde3

File homework 4/do_it.r

`-sp <- read.csv("SPhistory.short.csv")`
`-sp = sp[,7]`
`-sp = rev(sp)`
`-sp = diff(log(sp))`
`-gaussian.q0.01 = function (moments) {`
`-  with(moments, {`
`-    return(qnorm(0.01, mean = mean, sd = sd))`
`-  })`
`-}`
`-gaussian.fit.moments = function(data) {`
`-  return(list(mean=mean(data), sd=sd(data)))`
`-}`
`-gaussian.sim.moments = function(moments, n) {`
`-  with(moments, {`
`-    my.sim = rnorm(n, mean=mean, sd=sd)`
`-    return(`
`-      gaussian.fit.moments(my.sim)`
`-    )`
`-  })`
`-}`
`-estimates.q0.01 = replicate(10000,`
`-  gaussian.q0.01(`
`-    gaussian.sim.moments(`
`-      list(mean=mean(sp), sd=sd(sp)),`
`-      n=length(sp)`
`-    )`
`-  )`
`-)`
`-confidence.gaussian.q0.01 = quantile(estimates.q0.01,c(.025, 0.975))`
`-empirical.q0.01=quantile(sp, 0.01)`

File homework 4/q2.r

`+sp <- read.csv("SPhistory.short.csv")`
`+sp = sp[,7]`
`+sp = rev(sp)`
`+sp = diff(log(sp))`
`+gaussian.q0.01 = function (moments) {`
`+  with(moments, {`
`+    return(qnorm(0.01, mean = mean, sd = sd))`
`+  })`
`+}`
`+gaussian.fit.moments = function(data) {`
`+  return(list(mean=mean(data), sd=sd(data)))`
`+}`
`+gaussian.sim.moments = function(moments, n) {`
`+  with(moments, {`
`+    my.sim = rnorm(n, mean=mean, sd=sd)`
`+    return(`
`+      gaussian.fit.moments(my.sim)`
`+    )`
`+  })`
`+}`
`+estimates.q0.01 = replicate(10000,`
`+  gaussian.q0.01(`
`+    gaussian.sim.moments(`
`+      list(mean=mean(sp), sd=sd(sp)),`
`+      n=length(sp)`
`+    )`
`+  )`
`+)`
`+confidence.gaussian.q0.01 = quantile(estimates.q0.01,c(.025, 0.975))`
`+empirical.q0.01=quantile(sp, 0.01)`