Check results for 'tawny'

using log directory '/data/gannet/tmp/ripley/R/packages/tests-Sun/tawny.Rcheck'
using R version 2.11.0 Under development (unstable) (2010-02-03 r51097)
using session charset: UTF-8
checking for file 'tawny/DESCRIPTION' ... OK
checking extension type ... Package
this is package 'tawny' version '1.1.0'
checking package dependencies ... OK
checking if this is a source package ... OK
checking for executable files ... OK
checking whether package 'tawny' can be installed ... OK
checking package directory ... OK
checking for portable file names ... OK
checking for sufficient/correct file permissions ... OK
checking DESCRIPTION meta-information ... OK
checking top-level files ... OK
checking index information ... OK
checking package subdirectories ... OK
checking R files for non-ASCII characters ... OK
checking R files for syntax errors ... OK
checking whether the package can be loaded ... OK
checking whether the package can be loaded with stated dependencies ... OK
checking whether the package can be unloaded cleanly ... OK
checking for unstated dependencies in R code ... OK
checking S3 generic/method consistency ... OK
checking replacement functions ... OK
checking foreign function calls ... OK
checking R code for possible problems ... OK
checking Rd files ... OK
checking Rd metadata ... OK
checking Rd cross-references ... OK
checking for missing documentation entries ... OK
checking for code/documentation mismatches ... OK
checking Rd \usage sections ... OK
checking Rd contents ... WARNING
Argument items with no description in Rd object 'plotPerformance':
bg
checking data for non-ASCII characters ... OK
checking examples ... ERROR
Running examples in 'tawny-Ex.R' failed.
The error most likely occurred in:

> ### * tawny-package
>
> flush(stderr()); flush(stdout())
>
> ### Name: tawny-package
> ### Title: Provides various portfolio optimization strategies including
> ### random matrix theory and shrinkage estimators
> ### Aliases: tawny-package tawny
> ### Keywords: package ts
>
> ### ** Examples
>
> ## High level use of package
> # Select a portfolio using 200 total observations
> data(sp500.subset)
> h <- sp500.subset
> # Optimize using a window of length 200 (there will be 51 total iterations)
> ws <- optimizePortfolio(h, 150, getCorFilter.RMT() )
> # Plot the performance of the resulting optimized portfolio
> pf <- plotPerformance(h, ws, 150, y.min=-0.4)
> # Compare the performance with a naive equal-weighted portfolio
> ef <- compare.EqualWeighted(h, 150, y.min=-0.4)
> # Also compare against the S&P 500
> mf <- compare.Market('^GSPC',200,150, y.min=-0.4)
>
> # Generate weights based on the constant correlation shrinkage estimator
> ws <- optimizePortfolio(h, 150, getCorFilter.Shrinkage())
> pf <- plotPerformance(h, ws, 150, y.min=-0.4)
>
>
> ## Low level use of the package
> # View the theoretical Marcenko-Pastur distribution of eigenvalues of a
> # random matrix
> mp.theory(Q=4.2, sigma=1.1)
[1] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[7] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[13] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[19] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[25] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[31] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[37] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[43] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[49] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[55] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[61] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[67] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[73] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[79] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[85] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[91] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[97] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[103] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[109] 0.0000000 0.0000000 0.0000000 0.0000000 2.7616041 4.7795321
[115] 5.9878466 6.8547701 7.5179043 8.0421590 8.4647697 8.8095914
[121] 9.0930320 9.3269491 9.5202275 9.6797112 9.8107881 9.9177749
[127] 10.0041804 10.0728915 10.1263080 10.1664425 10.1949964 10.2134174
[133] 10.2229449 10.2246458 10.2194430 10.2081380 10.1914302 10.1699316
[139] 10.1441797 10.1146480 10.0817548 10.0458706 10.0073242 9.9664082
[145] 9.9233834 9.8784829 9.8319150 9.7838665 9.7345051 9.6839812
[151] 9.6324306 9.5799751 9.5267250 9.4727796 9.4182286 9.3631530
[157] 9.3076264 9.2517151 9.1954791 9.1389730 9.0822461 9.0253431
[163] 8.9683044 8.9111668 8.8539635 8.7967245 8.7394771 8.6822459
[169] 8.6250532 8.5679191 8.5108617 8.4538974 8.3970407 8.3403049
[175] 8.2837017 8.2272416 8.1709341 8.1147874 8.0588088 8.0030048
[181] 7.9473809 7.8919420 7.8366923 7.7816352 7.7267736 7.6721100
[187] 7.6176462 7.5633836 7.5093232 7.4554656 7.4018111 7.3483595
[193] 7.2951104 7.2420631 7.1892167 7.1365700 7.0841215 7.0318696
[199] 6.9798125 6.9279481 6.8762742 6.8247886 6.7734887 6.7223720
[205] 6.6714355 6.6206766 6.5700922 6.5196792 6.4694345 6.4193547
[211] 6.3694365 6.3196765 6.2700712 6.2206168 6.1713098 6.1221464
[217] 6.0731228 6.0242350 5.9754792 5.9268513 5.8783472 5.8299629
[223] 5.7816940 5.7335363 5.6854855 5.6375372 5.5896870 5.5419302
[229] 5.4942622 5.4466785 5.3991743 5.3517447 5.3043849 5.2570899
[235] 5.2098545 5.1626738 5.1155423 5.0684549 5.0214060 4.9743901
[241] 4.9274016 4.8804347 4.8334834 4.7865418 4.7396037 4.6926628
[247] 4.6457125 4.5987464 4.5517575 4.5047389 4.4576834 4.4105835
[253] 4.3634318 4.3162202 4.2689408 4.2215851 4.1741444 4.1266099
[259] 4.0789722 4.0312216 3.9833481 3.9353414 3.8871905 3.8388841
[265] 3.7904104 3.7417570 3.6929109 3.6438587 3.5945859 3.5450777
[271] 3.4953182 3.4452907 3.3949776 3.3443601 3.2934186 3.2421320
[277] 3.1904777 3.1384319 3.0859690 3.0330615 2.9796799 2.9257925
[283] 2.8713649 2.8163599 2.7607371 2.7044524 2.6474577 2.5897001
[289] 2.5311213 2.4716568 2.4112350 2.3497757 2.2871890 2.2233734
[295] 2.1582133 2.0915764 2.0233103 1.9532372 1.8811483 1.8067949
[301] 1.7298779 1.6500311 1.5667988 1.4796014 1.3876829 1.2900256
[307] 1.1852016 1.0710983 0.9443461 0.7989331 0.6218870 0.3702913
[313] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[319] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[325] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[331] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[337] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[343] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[349] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[355] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[361] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[367] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[373] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[379] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[385] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[391] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[397] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[403] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[409] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[415] 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000
[421] 0.0000000 0.0000000 0.0000000 0.0000000
>
> # Calculate the density of eigenvalues for a matrix of portfolio returns
> h <- getRandomMatrix(20, 100)
> hist <- mp.density.kernel(h)
>
> # Fit an empirical distribution to a theoretical curve
> hint <- c(6,2)
> o <- optim(hint, mp.fit.kernel(hist))
Error in optim(hint, mp.fit.kernel(hist)) :
function cannot be evaluated at initial parameters
Execution halted
Time 3:04.73, 114.30 + 6.03