[Returnanalytics-commits] r2658 - in pkg/Meucci: R man

[noreply at r-forge.r-project.org]

Author: xavierv
Date: 2013-07-28 21:54:14 +0200 (Sun, 28 Jul 2013)
New Revision: 2658

Removed:
   pkg/Meucci/R/Cumul2Raw.R
Modified:
   pkg/Meucci/R/InvariantProjection.R
   pkg/Meucci/man/Cumul2Raw.Rd
Log:
- fixed duplication for Cumul2Raw

Deleted: pkg/Meucci/R/Cumul2Raw.R
===================================================================
--- pkg/Meucci/R/Cumul2Raw.R	2013-07-28 19:29:59 UTC (rev 2657)
+++ pkg/Meucci/R/Cumul2Raw.R	2013-07-28 19:54:14 UTC (rev 2658)
@@ -1,30 +0,0 @@
-#' Map cumulative moments into raw moments, as described in A. Meucci "Risk and Asset Allocation",
-#' Springer, 2005
-#'
-#'	@param    ka  : [vector] (length N corresponding to order N) cumulative moments
-#'
-#'	@return   mu_ : [vector] (length N corresponding to order N) corresponding raw moments
-#'
-#' @references
-#' \url{http://symmys.com/node/170}
-#' See Meucci's script for "Cumul2Raw.m"
-#'
-#' @author Xavier Valls \email{flamejat@@gmail.com}
-#' @export
-Cumul2Raw = function( ka )
-{
-	N  = length( ka );
-	mu_ = ka;
-
-	for( n in 2 : N )
-	{
-	    #ka[ n ] = mu_[ n ]; Doesn't make sense
-
-	    for( k in 1 : (n-1) )
-	    {
-	        mu_[ n ] = mu_[ n ] + choose( n-1, k-1 ) * ka[ k ] * mu_[ n-k ]; 
-	    }    
-	}
-
-	return( mu_ );
-}
\ No newline at end of file

Modified: pkg/Meucci/R/InvariantProjection.R
===================================================================
--- pkg/Meucci/R/InvariantProjection.R	2013-07-28 19:29:59 UTC (rev 2657)
+++ pkg/Meucci/R/InvariantProjection.R	2013-07-28 19:54:14 UTC (rev 2658)
@@ -34,7 +34,7 @@
   return( mu = mu )
 }
 
-#' Transforms cumulants of Y-t into raw moments
+#' Map cumulative moments into raw moments.
 #'
 #' step 5 of the projection process: 
 #' 
@@ -46,28 +46,35 @@
 #' \equiv \kappa^{ \big(n\big) }_{Y}  +  \sum_{k=1}^{n-1} (n-1)C_{k-1}
 #' \kappa_{Y}^{ \big(k\big) }   \tilde{ \mu } ^{n-k}_{Y}  }
 #' 
-#' @param  ka     cumulants of Y
-#' @return mu_    the raw non-central moments of Y
+#'  @param    ka  : [vector] (length N corresponding to order N) cumulative moments
+#'
+#'  @return   mu_ : [vector] (length N corresponding to order N) corresponding raw moments
 #' 
-#' @author Ram Ahluwalia \email{rahluwalia@@gmail.com}
+#' @author Xavier Valls \email{flamejat@@gmail.com} and Ram Ahluwalia \email{rahluwalia@@gmail.com}
 #' @references
+#' \url{http://symmys.com/node/170}
+#' See Meucci's script for "Cumul2Raw.m".
+#'
 #' A. Meucci - "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics" - formula (24)
 #' Symmys site containing original MATLAB source code \url{http://www.symmys.com/node/136}
 #' @export
+
 Cumul2Raw = function( ka )
 {
-  N = length( ka )
-  mu_ = ka    
-    
-  for ( n in 1:N )
+  N   = length( ka );
+  mu_ = ka;
+
+  for( n in 2 : N )
   {
-    mu_[n] = ka[n]
-    for ( k in 1:(n-1) ) 
-    {
-      if ( n != 1 ) { mu_[n] = mu_[n] + choose(n-1,k-1) * ka[k] * mu_[n-k] }
-    }
-  }    
-  return( mu_ = mu_ )
+      #ka[ n ] = mu_[ n ]; Doesn't make sense
+
+      for( k in 1 : (n-1) )
+      {
+          mu_[ n ] = mu_[ n ] + choose( n-1, k-1 ) * ka[ k ] * mu_[ n-k ]; 
+      }    
+  }
+
+  return( mu_ );
 }
 
 #' Transforms raw moments into cumulants

Modified: pkg/Meucci/man/Cumul2Raw.Rd
===================================================================
--- pkg/Meucci/man/Cumul2Raw.Rd	2013-07-28 19:29:59 UTC (rev 2657)
+++ pkg/Meucci/man/Cumul2Raw.Rd	2013-07-28 19:54:14 UTC (rev 2658)
@@ -1,19 +1,21 @@
 \name{Cumul2Raw}
 \alias{Cumul2Raw}
-\title{Transforms cumulants of Y-t into raw moments}
+\title{Map cumulative moments into raw moments.}
 \usage{
   Cumul2Raw(ka)
 
   Cumul2Raw(ka)
 }
 \arguments{
-  \item{ka}{cumulants of Y}
+  \item{ka}{: [vector] (length N corresponding to order N)
+  cumulative moments}
 
   \item{ka}{: [vector] (length N corresponding to order N)
   cumulative moments}
 }
 \value{
-  mu_ the raw non-central moments of Y
+  mu_ : [vector] (length N corresponding to order N)
+  corresponding raw moments
 
   mu_ : [vector] (length N corresponding to order N)
   corresponding raw moments
@@ -36,11 +38,15 @@
   \kappa_{Y}^{ \big(k\big) } \tilde{ \mu } ^{n-k}_{Y} }
 }
 \author{
-  Ram Ahluwalia \email{rahluwalia at gmail.com}
+  Xavier Valls \email{flamejat at gmail.com} and Ram Ahluwalia
+  \email{rahluwalia at gmail.com}
 
   Xavier Valls \email{flamejat at gmail.com}
 }
 \references{
+  \url{http://symmys.com/node/170} See Meucci's script for
+  "Cumul2Raw.m".
+
   A. Meucci - "Annualization and General Projection of
   Skewness, Kurtosis and All Summary Statistics" - formula
   (24) Symmys site containing original MATLAB source code