再現可能なコード:
#install.packages('DEoptim')
#install.packages('forecast')
#install.packages('quantmod')
require(compiler)
require(DEoptim)
require(forecast)
require(quantmod)
Symbols <- 'DGS10'
getSymbols(Symbols, src = 'FRED', from = '1950-01-01')
fn <- cmpfun(function(n){
x <- tail(DGS10, n)
bic <- auto.arima(x = x, max.p = 20, max.q = 20, ic = 'bic', d = 0)$bic
return(bic)
})
DEoptim(fn = fn, lower = 100, upper = nrow(DGS10),
control = DEoptim.control(strategy = 6, itermax = 500))
最後のコマンドが返されます
Error in DEoptim(fn = fn, lower = c(100), upper = c(nrow(DGS10)), control = DEoptim.control(strategy = 6, :
REAL() can only be applied to a 'numeric', not a 'integer'
fn
関数の出力は
[1] "numeric" "vector" "index_timeSeries"
DEoptim
これはアルゴリズムに適しているように思えます。
私のR
セッション:
R version 3.0.1 (2013-05-16)
Platform: i386-w64-mingw32/i386 (32-bit)
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
attached base packages:
[1] compiler stats graphics grDevices datasets utils methods base
other attached packages:
[1] DEoptim_2.2-2 forecast_4.06 quantmod_0.4-0 TTR_0.22-0
[5] xts_0.9-4 zoo_1.7-10 Defaults_1.1-1 KFAS_0.9.11
[9] latticeExtra_0.6-24 lattice_0.20-15 RColorBrewer_1.0-5 rcom_3.1-2
[13] rscproxy_2.0-5
loaded via a namespace (and not attached):
[1] colorspace_1.2-2 fracdiff_1.4-2 grid_3.0.1 nnet_7.3-6
[5] parallel_3.0.1 quadprog_1.5-5 timeDate_3010.98 timeSeries_3010.97
[9] tools_3.0.1 tseries_0.10-32