• using R version 2.9.0 Under development (unstable) (2008-11-19 r46992)
  • using session charset: UTF-8
  • checking for file 'realized/DESCRIPTION' ... OK
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  • this is package 'realized' version '0.8'
  • checking package dependencies ... OK
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  • checking DESCRIPTION meta-information ... OK
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  • checking top-level files ... OK
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  • checking R files for non-ASCII characters ... OK
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  • checking R files for syntax errors ... OK
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  • checking whether the package can be loaded ... OK
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  • checking whether the package can be loaded with stated dependencies ... OK
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  • checking for unstated dependencies in R code ... OK
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  • checking S3 generic/method consistency ... OK
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  • checking replacement functions ... OK
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  • checking foreign function calls ... OK
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  • checking R code for possible problems ... NOTE
    .ts2millis: no visible global function definition for ‘timeDate’
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  • checking Rd \usage sections ... NOTE
    S3 methods shown with full name in documentation object 'merge.realizedObject':
    merge.realizedObject

    The \usage entries for S3 methods should use the \method markup and not
    their full name.
    See the chapter 'Writing R documentation files' in manual 'Writing R
    Extensions'.
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  • creating realized-Ex.R ... OK
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  • checking examples ... ERROR
    Running examples in 'realized-Ex.R' failed.
    The error most likely occurred in:

    > ### * rRealizedVariance
    >
    > flush(stderr()); flush(stdout())
    >
    > ### Name: rRealizedVariance
    > ### Title: Calculate realized variance, covariance, or correlation.
    > ### Aliases: rRealizedVariance rRealisedVariance
    > ### Keywords: methods
    >
    > ### ** Examples
    >
    > data(msft.real.cts)
    > data(ge.real.cts)
    >
    > # Traditional Estimate at highest frequency
    > rRealizedVariance(x=msft.real.cts[[1]], y=ge.real.cts[[1]], type="naive", period=1)
    [1] -1.279923e-05
    >
    > # Traditional Estimate at one minute frequency
    > rRealizedVariance(x=msft.real.cts[[1]], y=ge.real.cts[[1]], type="naive", period=1, args=list(align.period=60))
    [1] 5.116529e-05
    >
    > # Traditional Estimate at 10 minute frequency
    > rRealizedVariance(x=msft.real.cts[[1]], y=ge.real.cts[[1]], type="naive", period=10, args=list(align.period=60))
    [1] 7.856014e-05
    >
    > # Bartlett Kernel Estimate with minute aligned data at 20 lags
    > rRealizedVariance(x=msft.real.cts[[1]], y=ge.real.cts[[1]], type="kernel", lags=20, args=list(align.period=60, type="Bartlett"))
    [1] 6.553482e-05
    >
    > # Cubic Kernel Estimate with second aligned data at 400 lags
    > rRealizedVariance(x=msft.real.cts[[1]], y=ge.real.cts[[1]], type="kernel", lags=400, args=list(type="Cubic"))
    [1] 0.0001019466
    >
    > # Lead-Lag with one lag at one minute frequency
    > rRealizedVariance(x=msft.real.cts[[1]], y=ge.real.cts[[1]], type="kernel", lags=1, args=list(align.period=60))
    [1] 0.0001179901
    >
    > # Subsample Average Estimate with second aligned data at 600 subgrids
    > rRealizedVariance(x=msft.real.cts[[1]], y=ge.real.cts[[1]], type="avg", period=600)
    [1] 7.610897e-05
    >
    > # Traditional Estimate at highest frequency
    > rRealizedVariance(x=merge(msft.real.cts[[1]], ge.real.cts[[1]]), type="naive", period=1)
    [,1] [,2]
    [1,] 4.642229e-03 -1.279923e-05
    [2,] -1.279923e-05 1.140889e-03
    >
    > # Traditional Estimate at 10 minute frequency
    > rRealizedVariance(x=merge(msft.real.cts[[1]], ge.real.cts[[1]]), type="naive", period=10, args=list(align.period=60))
    [,1] [,2]
    [1,] 5.299257e-04 7.856014e-05
    [2,] 7.856014e-05 1.212815e-04
    >
    > # Lead-Lag with one lag at one minute frequency>
    > rRealizedVariance(x=merge(msft.real.cts[[1]], ge.real.cts[[1]]), type="kernel", lags=1, args=list(align.period=60))
    Error in args$period : object of type 'closure' is not subsettable
    Calls: rRealizedVariance -> .realized.variance -> do.call -> rv.kernel
    Execution halted