Styjun

What organs or modifications would be needed for a life biological creature not to require sleep?

Is it Safe to Carbonate Beer in a Can?

How do we know that black holes are spinning?

Is low emotional intelligence associated with right-wing and prejudiced attitudes?

What are examples of experiments or studies where pre-registration would not be feasible?

Reading double values from a text file

Can derivatives be defined as anti-integrals?

How many ways you can go from point A to point B

What explanation do proponents of a Scotland-NI bridge give for it breaking Brexit impasse?

How to be sure services and researches offered by the University are not becoming cases of unfair competition?

The Planck constant for mathematicians

What was the motivation for the invention of electric pianos?

Parallel resistance in electric circuits

Why are some files not movable on Windows 10?

How do I say "quirky" in German without sounding derogatory?

Are there any “Third Order” acronyms used in space exploration?

What is the mathematical notation for rounding a given number to the nearest integer?

Real mode flat model

What is a "major country" as named in Bernie Sanders' Healthcare debate answers?

Can I tap all my opponent's lands while they're casting a spell to negate it?

Changing trains at Firenze S.M.N. train station - how fast can it be done?

Bit one of the Intel 8080's Flags register

What next step can I take in solving this sudoku?

Would it be unbalanced to increase Wild Shape uses based on level?

Convert one level alpha to multilevel alphas

Parse a multilevel array to view-filefinding an entry in an multilevel associative arraysort multilevel array phpRuby On Rails - Group by, multilevelFilter multidimensional multilevel array to uniqMultilevel submenu codeigniterdynamically create a javascript/jquery multilevel arrayPHP Convert multi level multi-dimensional array to a tableHow to build dinamically a multilevel category with PHPphp 7 - sort multilevel associative array by keys to have it sorted on each level lexicographically

.everyoneloves__top-leaderboard:empty,.everyoneloves__mid-leaderboard:empty,.everyoneloves__bot-mid-leaderboard:empty margin-bottom:0;

0

I would like to write a code for my master thesis but for this, I need to use multilevel alphas. How could adjust the following codes for multilevel alphas? I mean instead of alpha=0.05, I need alphas=c(0.01,0.05,0.1). Please help me it is really important for my thesis.

risk = function(densities, alpha, method)
#Estimates the alpha Value-at-Risk and Expected Shortfall for the n trading days in densities
#densities = matrix with the empirical distributions (columns) for n trading days (rows)

output = matrix(data = vector(length = length(densities[1,]) * 2) , nrow = length(densities[1,]), ncol = 2)
colnames(output) = c("VaR","ES")


len = length(densities[,1])
if(method == "FHS")
 i = (1 - alpha * 2) * len
 output[,1] = sqrt(densities[i,])
 output[,2] = apply(sqrt(densities[i:len,]), 2, mean)


else
 i = alpha * len
 output[,1] = -densities[i,] 
 output[,2] = apply(-densities[1:i,] , 2, mean)

return (output)

multidimensional-array

share|improve this question

asked Mar 28 at 10:50

VUSAL MAMMADZADAVUSAL MAMMADZADA

111 bronze badge

add a comment
 | 

0

I would like to write a code for my master thesis but for this, I need to use multilevel alphas. How could adjust the following codes for multilevel alphas? I mean instead of alpha=0.05, I need alphas=c(0.01,0.05,0.1). Please help me it is really important for my thesis.

risk = function(densities, alpha, method)
#Estimates the alpha Value-at-Risk and Expected Shortfall for the n trading days in densities
#densities = matrix with the empirical distributions (columns) for n trading days (rows)

output = matrix(data = vector(length = length(densities[1,]) * 2) , nrow = length(densities[1,]), ncol = 2)
colnames(output) = c("VaR","ES")


len = length(densities[,1])
if(method == "FHS")
 i = (1 - alpha * 2) * len
 output[,1] = sqrt(densities[i,])
 output[,2] = apply(sqrt(densities[i:len,]), 2, mean)


else
 i = alpha * len
 output[,1] = -densities[i,] 
 output[,2] = apply(-densities[1:i,] , 2, mean)

return (output)

multidimensional-array

share|improve this question

asked Mar 28 at 10:50

VUSAL MAMMADZADAVUSAL MAMMADZADA

111 bronze badge

add a comment
 | 

I would like to write a code for my master thesis but for this, I need to use multilevel alphas. How could adjust the following codes for multilevel alphas? I mean instead of alpha=0.05, I need alphas=c(0.01,0.05,0.1). Please help me it is really important for my thesis.

risk = function(densities, alpha, method)
#Estimates the alpha Value-at-Risk and Expected Shortfall for the n trading days in densities
#densities = matrix with the empirical distributions (columns) for n trading days (rows)

output = matrix(data = vector(length = length(densities[1,]) * 2) , nrow = length(densities[1,]), ncol = 2)
colnames(output) = c("VaR","ES")


len = length(densities[,1])
if(method == "FHS")
 i = (1 - alpha * 2) * len
 output[,1] = sqrt(densities[i,])
 output[,2] = apply(sqrt(densities[i:len,]), 2, mean)


else
 i = alpha * len
 output[,1] = -densities[i,] 
 output[,2] = apply(-densities[1:i,] , 2, mean)

return (output)

multidimensional-array

share|improve this question

asked Mar 28 at 10:50

VUSAL MAMMADZADAVUSAL MAMMADZADA

111 bronze badge

output = matrix(data = vector(length = length(densities[1,]) * 2) , nrow = length(densities[1,]), ncol = 2)
colnames(output) = c("VaR","ES")


len = length(densities[,1])
if(method == "FHS")
 i = (1 - alpha * 2) * len
 output[,1] = sqrt(densities[i,])
 output[,2] = apply(sqrt(densities[i:len,]), 2, mean)


else
 i = alpha * len
 output[,1] = -densities[i,] 
 output[,2] = apply(-densities[1:i,] , 2, mean)

return (output)

share|improve this question

asked Mar 28 at 10:50

VUSAL MAMMADZADAVUSAL MAMMADZADA

111 bronze badge

share|improve this question

asked Mar 28 at 10:50

VUSAL MAMMADZADAVUSAL MAMMADZADA

111 bronze badge

asked Mar 28 at 10:50

VUSAL MAMMADZADAVUSAL MAMMADZADA

111 bronze badge

asked Mar 28 at 10:50

VUSAL MAMMADZADAVUSAL MAMMADZADA

111 bronze badge