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List:       r-sig-finance
Subject:    [R-SIG-Finance] Singular matrix in DCC fit in package rmgarch | how to bypass base::solve() elegantl
From:       Peter Ruckdeschel <peter.ruckdeschel () web ! de>
Date:       2020-04-09 13:06:37
Message-ID: ebc7c5eb-9a86-ac1a-9a7d-74496782461e () web ! de
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Dear Alexis,=C2=A0 dear colleagues,

a student of mine, Patrick Harren (CC), is currently writing his master the=
sis with me as advisor.

He is to write on portfolio optimization for many assets by means of dynami=
c elliptical copulas
using a DCC-GARCH model as implemented in R package rmgarch.

In his code he is stumbling on errors of form

=C2=A0=C2=A0=C2=A0 "error: matrix multiplication: problem with matrix inver=
se; suggest to use solve() instead"

I am not surprised this happens, as he has a p>n situation, i.e. more asset=
s than observations,
so I would guess this is due to singular matrices which at some point of th=
e code is to be inverted.

Is there any [easy] way to replace the general solver base::solve() by some=
thing like MASS::ginv()
for this purpose, or, if appropriate, would you suggest another regularizat=
ion, say by some sort of
shrinkage?

Any suggestions welcome, thank you already,

best regards, Peter Ruckdeschel

--
%******************************************************************
% Prof. Dr. Peter Ruckdeschel
% Institut fuer Mathematik, Fakultaet V - Mathematik und Naturwissenschaften
% Carl von Ossietzky Universitaet Oldenburg,
% Postfach 25 03,  26111 Oldenburg
% Office: Wechloy W1 02-227 Tel: +49 (0)441 798-3240  Fax: +49 (0)441 798-1=
93240
% peter.ruckdeschel@uni-oldenburg.de
% http://www.uni-oldenburg.de/peter-ruckdeschel
%******************************************************************


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