gregorkastner / stochvol

Partial re-write of the R package stochvol to allow for asymmetry (leverage).
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No progress bar on Windows #11

Closed hdarjus closed 3 years ago

hdarjus commented 3 years ago

On Windows, this chunk of code:

library(stochvol)
train <- rnorm(100)
fit_sv<-svsample(train)

returns this output:

Calling GIS_C MCMC sampler with 11000 iter. Series length is 100.
Timing (elapsed): 0.78 seconds.
14103 iterations per second.

Converting results to coda objects... Done!
Summarizing posterior draws...
Done!

My sessionInfo() at the moment:

R version 4.0.2 (2020-06-22)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 10 x64 (build 19042)

Matrix products: default

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252    LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C                           LC_TIME=English_United States.1252    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] forecast_8.14        stochvol_3.0.4       RevoUtils_11.0.2     RevoUtilsMath_11.0.0

loaded via a namespace (and not attached):
 [1] Rcpp_1.0.5        urca_1.3-0        pillar_1.5.0      compiler_4.0.2    tseries_0.10-48   tools_4.0.2       xts_0.12.1       
 [8] nlme_3.1-148      lifecycle_1.0.0   tibble_3.1.0      gtable_0.3.0      lattice_0.20-41   pkgconfig_2.0.3   rlang_0.4.10     
[15] curl_3.3          parallel_4.0.2    coda_0.19-4       vctrs_0.3.6       lmtest_0.9-38     grid_4.0.2        nnet_7.3-14      
[22] glue_1.4.2        R6_2.3.0          fansi_0.4.2       ggplot2_3.3.3     TTR_0.24.2        magrittr_2.0.1    scales_1.1.1     
[29] ellipsis_0.3.1    quantmod_0.4.18   timeDate_3043.102 colorspace_2.0-0  fracdiff_1.5-1    quadprog_1.5-8    utf8_1.1.4       
[36] munsell_0.5.0     crayon_1.4.1      zoo_1.8-9 
hdarjus commented 3 years ago

Maybe try Rprintf instead of REprintf here: https://github.com/gregorkastner/stochvol/blob/d56a2eee4e51025e7a37ab5ddb78f2deb7a9a8ae/src/utils_main.h#L226

hdarjus commented 3 years ago

06ab60371efd005b3c64ab4db876169b076aa0e7