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dan mackinlay committed 184c4dd

per-question source

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  • Parent commits 61bdde3

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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)