[Vinecopula-commits] r80 - / pkg pkg/R pkg/man

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Mi Jan 28 10:34:51 CET 2015 

Author: etobi
Date: 2015-01-28 10:34:49 +0100 (Wed, 28 Jan 2015)
New Revision: 80

Modified:
   pkg.pdf
   pkg/DESCRIPTION
   pkg/R/BiCopCDF.r
   pkg/R/BiCopChiPlot.r
   pkg/R/BiCopEst.r
   pkg/man/VineCopula-package.Rd
Log:
- changed package description on request of CRAN
- ONLY ASCII characters in R code (also comments), or simply stick to English

Modified: pkg/DESCRIPTION
===================================================================
--- pkg/DESCRIPTION	2015-01-27 17:31:25 UTC (rev 79)
+++ pkg/DESCRIPTION	2015-01-28 09:34:49 UTC (rev 80)
@@ -8,6 +8,6 @@
 Depends: R (>= 2.11.0)
 Imports: MASS, mvtnorm, igraph, methods, copula, ADGofTest
 Suggests: CDVine, TSP
-Description: This package provides functions for statistical inference of vine copulas. It contains tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree construction. Models can be estimated either sequentially or by joint maximum likelihood estimation. Sampling algorithms and plotting methods are also included. Data is assumed to lie in the unit hypercube (so-called copula data). For C- and D-vines links to the package CDVine are provided.
+Description: Tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree construction are provided. Vine copula models can be estimated either sequentially or by joint maximum likelihood estimation. Sampling algorithms and plotting methods are included. Data is assumed to lie in the unit hypercube (so-called copula data). For C- and D-vines links to the package CDVine are provided.
 License: GPL (>= 2)
 LazyLoad: yes

Modified: pkg/R/BiCopCDF.r
===================================================================
--- pkg/R/BiCopCDF.r	2015-01-27 17:31:25 UTC (rev 79)
+++ pkg/R/BiCopCDF.r	2015-01-28 09:34:49 UTC (rev 80)
@@ -1,5 +1,6 @@
-BiCopCDF<-function(u1,u2,family,par,par2=0)
-{
+BiCopCDF <- function(u1, u2, family, par, par2 = 0){
+  
+  ## sanity checks
   if(is.null(u1)==TRUE || is.null(u2)==TRUE) stop("u1 and/or u2 are not set or have length zero.")
   if(any(u1>1) || any(u1<0)) stop("Data has be in the interval [0,1].")
   if(any(u2>1) || any(u2<0)) stop("Data has be in the interval [0,1].")
@@ -43,6 +44,7 @@
 
   res = rep(NA, length(u1))
   
+  ## CDFs for the different families
   if(family == 0){
     res = u1*u2
   }else if(family == 1){
@@ -60,59 +62,65 @@
     res = u2-.C("archCDF",as.double(1-u1),as.double(u2),as.integer(length(u1)),as.double(c(-par,-par2)),as.integer(family-20),as.double(rep(0,length(u1))),PACKAGE='VineCopula')[[6]]
   }else if(family %in% c(33,34,36:40,71)){
     res = u1-.C("archCDF",as.double(u1),as.double(1-u2),as.integer(length(u1)),as.double(c(-par,-par2)),as.integer(family-30),as.double(rep(0,length(u1))),PACKAGE='VineCopula')[[6]]
-  }else if(family %in% c(104,114,124,134,204,214,224,234)){		# Kan spter ev. mal duch C-Code ersetzt werden
-	## Hilfsterme fr die Ableitung ###
-	ta<-function(t,par,par2,par3) {(par2*t)^par+(par3*(1-t))^par}
-	########  Pickands A
-	A<-function(t,par,par2,par3) {(1-par3)*(1-t)+(1-par2)*t+ta(t,par,par2,par3)^(1/par)}
-	
-	w<-function(u1,u2) {log(u2)/log(u1*u2)}
-	C<-function(u,v,par,par2,par3) {(u1*u2)^A(w(u1,u2),par,par2,par3)}
-	
-	if(family==104) 
-	{ 
-		par3=1
-		res=C(u1,u2,par,par2,par3) 
-	}
-	else if(family==114) 
-	{ 
-		par3=1
-		res=u1+u2-1+C(1-u1,1-u2,par,par2,par3) 
-	}
-	else if(family==124) 
-	{ 
-		par3=1
-		res=u2-C(1-u1,u2,-par,par2,par3) 
-	}
-	else if(family==134) 
-	{ 
-		par3=1
-		res=u1-C(u1,1-u2,-par,par2,par3) 
-	}
-	else if(family==204) 
-	{ 
-		par3=par2
-		par2=1
-		res=C(u1,u2,par,par2,par3) 
-	}
-	else if(family==214) 
-	{ 
-		par3=par2
-		par2=1
-		res=u1+u2-1+C(1-u1,1-u2,par,par2,par3) 
-	}
-	else if(family==224) 
-	{ 
-		par3=par2
-		par2=1
-		res=u2-C(1-u1,u2,-par,par2,par3) 
-	}
-	else if(family==234) 
-	{ 
-		par3=par2
-		par2=1
-		res=u1-C(u1,1-u2,-par,par2,par3) 
-	}
+  }else if(family %in% c(104,114,124,134,204,214,224,234)){# maybe replace by C-Code
+    ## auxiliary functions ###
+    ta <- function(t,par,par2,par3){(par2*t)^par+(par3*(1-t))^par}
+    ########  Pickands A
+    A <- function(t,par,par2,par3){
+      (1-par3)*(1-t)+(1-par2)*t+ta(t,par,par2,par3)^(1/par)
+    }
+    
+    w <- function(u1,u2){
+      log(u2)/log(u1*u2)
+    }
+    C <- function(u,v,par,par2,par3){
+      (u1*u2)^A(w(u1,u2),par,par2,par3)
+    }
+    
+    if(family==104) 
+    { 
+      par3=1
+      res=C(u1,u2,par,par2,par3) 
+    }
+    else if(family==114) 
+    { 
+      par3=1
+      res=u1+u2-1+C(1-u1,1-u2,par,par2,par3) 
+    }
+    else if(family==124) 
+    { 
+      par3=1
+      res=u2-C(1-u1,u2,-par,par2,par3) 
+    }
+    else if(family==134) 
+    { 
+      par3=1
+      res=u1-C(u1,1-u2,-par,par2,par3) 
+    }
+    else if(family==204) 
+    { 
+      par3=par2
+      par2=1
+      res=C(u1,u2,par,par2,par3) 
+    }
+    else if(family==214) 
+    { 
+      par3=par2
+      par2=1
+      res=u1+u2-1+C(1-u1,1-u2,par,par2,par3) 
+    }
+    else if(family==224) 
+    { 
+      par3=par2
+      par2=1
+      res=u2-C(1-u1,u2,-par,par2,par3) 
+    }
+    else if(family==234) 
+    { 
+      par3=par2
+      par2=1
+      res=u1-C(u1,1-u2,-par,par2,par3) 
+    }
   }
  
   return(res)

Modified: pkg/R/BiCopChiPlot.r
===================================================================
--- pkg/R/BiCopChiPlot.r	2015-01-27 17:31:25 UTC (rev 79)
+++ pkg/R/BiCopChiPlot.r	2015-01-28 09:34:49 UTC (rev 80)
@@ -1,8 +1,8 @@
 #===============================================================================
 # -------------------- CHI-PLOT FOR BIVARIATE DATA -----------------------------
 #===============================================================================
-# Author: Natalia Djunushalieva, TU Mnchen, April 2010
-# Update: Ulf Schepsmeier, TU Mnchen, June 2010
+# Author: Natalia Djunushalieva, TU Muenchen, April 2010
+# Update: Ulf Schepsmeier, TU Muenchen, June 2010
 # For more detail see "Everything you always wanted to now about copula modeling
 # but were afraid to ask", Christian Genest, Anne-Catherine Favre
 # NOTE: It is also possible to calculate chi-plot for righ upper and left lower
@@ -89,8 +89,8 @@
 #===============================================================================
 # ----------------- KENDALL-PLOT FOR BIVARIATE DATA ----------------------------
 #===============================================================================
-# Author: Natalia Djunushalieva, TU Mnchen, April 2010
-# Update: Ulf Schepsmeier, TU Mnchen, June 2010
+# Author: Natalia Djunushalieva, TU Muenchen, April 2010
+# Update: Ulf Schepsmeier, TU Muenchen, June 2010
 # For more detail see "Everything you always wanted to now about copula modeling
 # but were afraid to ask", Christian Genest, Anne-Catherine Favre
 #-------------------------------------------------------------------------------
@@ -118,8 +118,8 @@
   W.in<-rep(NA,n)
   for(i in 1:n)
   {
-    f=function(w){w*(-log(w))*(w-w*log(w))^(i-1)*(1-w+w*log(w))^(n-i)}  # zu integrierende Funktion
-		W.in[i]<-n*choose(n-1,i-1)*(integrate(f,lower=0,upper=1)$value)  # W_{i:n} fr i=1:n
+    f=function(w){w*(-log(w))*(w-w*log(w))^(i-1)*(1-w+w*log(w))^(n-i)}  # function to be integrated
+		W.in[i]<-n*choose(n-1,i-1)*(integrate(f,lower=0,upper=1)$value)  # W_{i:n} for i=1:n
   }
   g<-function(w){w-w*log(w)} # K_{0}(w)=P(UV<=w)
 
@@ -127,7 +127,7 @@
   {
     plot(g,xlim=c(0,1),ylim=c(0,1),pch="x",xlab=expression(W[1:n]),ylab="H",...) #Kurve K_{0}(w)
     points(W.in,Hi.sort,pch="x",cex=0.4,...)
-    abline(a=0,b=1)	# Winkelhalbierende
+    abline(a=0,b=1)	# angle bisector
   }
   else # create output data
   {

Modified: pkg/R/BiCopEst.r
===================================================================
--- pkg/R/BiCopEst.r	2015-01-27 17:31:25 UTC (rev 79)
+++ pkg/R/BiCopEst.r	2015-01-28 09:34:49 UTC (rev 80)
@@ -175,7 +175,7 @@
       if(family==2) ## t
       {
         theta1 <- sin(tau*pi/2)
-        delta1 <- min(10,(max.df+2)/2 )      # Nehme die Mitte zwischen 2S und max.df So kann man mit dem Startwert auch nicht außerhalb des vom User gesetzten Bereiches sein.
+        delta1 <- min(10,(max.df+2)/2 )      # Take the middle between 2 and max.df
         delta = MLE_intern(cbind(u1,u2),c(theta1,delta1),family=family,se=FALSE,max.df,max.BB,cor.fixed=TRUE,weights)$par[2]
       }
       else if(family==7 || family==17)	## BB1

Modified: pkg/man/VineCopula-package.Rd
===================================================================
--- pkg/man/VineCopula-package.Rd	2015-01-27 17:31:25 UTC (rev 79)
+++ pkg/man/VineCopula-package.Rd	2015-01-28 09:34:49 UTC (rev 80)
@@ -6,10 +6,9 @@
 \title{Statistical Inference of Vine Copulas}
 
 \description{
-This package provides functions for statistical inference of vine copulas.
-It contains tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree construction.
-Models can be estimated either sequentially or by joint maximum likelihood estimation.
-Sampling algorithms and plotting methods are also included.
+Tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree construction are provided.
+Vine copula models can be estimated either sequentially or by joint maximum likelihood estimation.
+Sampling algorithms and plotting methods are included.
 Data is assumed to lie in the unit hypercube (so-called copula data).
 For C- and D-vines links to the package CDVine are provided.
 }

Modified: pkg.pdf
===================================================================
--- pkg.pdf	2015-01-27 17:31:25 UTC (rev 79)
+++ pkg.pdf	2015-01-28 09:34:49 UTC (rev 80)
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[TRUNCATED]

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    svnlook diff /svnroot/vinecopula -r 80

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