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Problem with large covariance matrix

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simone pilozzi

Problem with large covariance matrix

Dear Users,

I am working for a VaR with large covariance matrices (dim is roughly 1500 x 1500) .

I am usig the SequenceStatistics object to to create the multivariate time series object and getting the covariance from it.

While using the method add to construct the sample I was prompted a "bad allocation" exception.

Does anyone have an idea on the reason (and how to solve)?

Many Thanks in advance

Simone

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YuHong-4

Re: Problem with large covariance matrix

Hello. Seems out of memory.

Hong Yu

Date: Wed, 14 Sep 2011 14:00:29 +0200
From: [hidden email]
To: [hidden email]; [hidden email]
Subject: [Quantlib-users] Problem with large covariance matrix

Dear Users,

I am working for a VaR with large covariance matrices (dim is roughly 1500 x 1500) .

I am usig the SequenceStatistics object to to create the multivariate time series object and getting the covariance from it.

While using the method add to construct the sample I was prompted a "bad allocation" exception.

Does anyone have an idea on the reason (and how to solve)?

Many Thanks in advance

Simone

------------------------------------------------------------------------------ BlackBerry® DevCon Americas, Oct. 18-20, San Francisco, CA Learn about the latest advances in developing for the BlackBerry® mobile platform with sessions, labs & more. See new tools and technologies. Register for BlackBerry® DevCon today! http://p.sf.net/sfu/rim-devcon-copy1
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simone pilozzi

Re: Problem with large covariance matrix

Indeed,

after a restart it runs happily...

Thanks

On 14 September 2011 14:34, YuHong <[hidden email]> wrote:

Hello. Seems out of memory.

Hong Yu

Date: Wed, 14 Sep 2011 14:00:29 +0200
From: [hidden email]
To: [hidden email]; [hidden email]
Subject: [Quantlib-users] Problem with large covariance matrix

Dear Users,

I am working for a VaR with large covariance matrices (dim is roughly 1500 x 1500) .

I am usig the SequenceStatistics object to to create the multivariate time series object and getting the covariance from it.

While using the method add to construct the sample I was prompted a "bad allocation" exception.

Does anyone have an idea on the reason (and how to solve)?

Many Thanks in advance

Simone

------------------------------------------------------------------------------ BlackBerry® DevCon Americas, Oct. 18-20, San Francisco, CA Learn about the latest advances in developing for the BlackBerry® mobile platform with sessions, labs & more. See new tools and technologies. Register for BlackBerry® DevCon today! http://p.sf.net/sfu/rim-devcon-copy1
_______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users