[Gogarch-commits] r27 - in pkg: . R inst man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Feb 18 21:50:28 CET 2009
Author: bpfaff
Date: 2009-02-18 21:50:28 +0100 (Wed, 18 Feb 2009)
New Revision: 27
Modified:
pkg/DESCRIPTION
pkg/R/Functions.R
pkg/inst/ChangeLog
pkg/man/gogarch.Rd
Log:
Changed argument in gogarch(), see ChangeLog.
Modified: pkg/DESCRIPTION
===================================================================
--- pkg/DESCRIPTION 2009-02-13 22:03:21 UTC (rev 26)
+++ pkg/DESCRIPTION 2009-02-18 20:50:28 UTC (rev 27)
@@ -2,7 +2,7 @@
Version: 0.6-7
Type: Package
Title: Generalized Orthogonal GARCH (GO-GARCH) models
-Date: 2009-02-13
+Date: 2009-02-18
Author: Bernhard Pfaff
Maintainer: Bernhard Pfaff <bernhard at pfaffikus.de>
Depends: R (>= 2.7.0), methods, stats, graphics, fGarch, fastICA
Modified: pkg/R/Functions.R
===================================================================
--- pkg/R/Functions.R 2009-02-13 22:03:21 UTC (rev 26)
+++ pkg/R/Functions.R 2009-02-18 20:50:28 UTC (rev 27)
@@ -19,24 +19,24 @@
## gogarch: main function for estimating GO-GARCH models
##
gogarch <-
-function(data, formula, scale = FALSE, method = c("ica", "mm", "ml", "nls"), lag.max = 1, initial = NULL, garchlist = list(init.rec = "mci", delta = 2, skew = 1, shape = 4, cond.dist = "norm", include.mean = FALSE, include.delta = NULL, include.skew = NULL, include.shape = NULL, leverage = NULL, trace = FALSE, algorithm = "nlminb", hessian = "ropt", control = list(), title = NULL, description = NULL), ...){
- method <- match.arg(method)
+function(data, formula, scale = FALSE, estby = c("ica", "mm", "ml", "nls"), lag.max = 1, initial = NULL, garchlist = list(init.rec = "mci", delta = 2, skew = 1, shape = 4, cond.dist = "norm", include.mean = FALSE, include.delta = NULL, include.skew = NULL, include.shape = NULL, leverage = NULL, trace = FALSE, algorithm = "nlminb", hessian = "ropt", control = list(), title = NULL, description = NULL), ...){
+ estby <- match.arg(estby)
Call <- match.call()
gini <- goinit(X = data, garchf = formula, scale = scale)
gomod <- new("GoGARCH", gini)
- if(method == "ml"){
+ if(estby == "ml"){
goestml <- new("Goestml", gomod)
gogarch <- goest(object = goestml, initial = initial, garchlist = garchlist, ...)
}
- if(method == "nls"){
+ if(estby == "nls"){
goestnls <- new("Goestnls", gomod)
gogarch <- goest(object = goestnls, initial = initial, garchlist = garchlist, ...)
}
- if(method == "mm"){
+ if(estby == "mm"){
goestmm <- new("Goestmm", gomod)
gogarch <- goest(object = goestmm, lag.max = lag.max, garchlist = garchlist, ...)
}
- if(method == "ica"){
+ if(estby == "ica"){
goestica <- new("Goestica", gomod)
gogarch <- goest(object = goestica, initial = initial, garchlist = garchlist, ...)
}
Modified: pkg/inst/ChangeLog
===================================================================
--- pkg/inst/ChangeLog 2009-02-13 22:03:21 UTC (rev 26)
+++ pkg/inst/ChangeLog 2009-02-18 20:50:28 UTC (rev 27)
@@ -1,3 +1,8 @@
+2009-02-18 Dr. Bernhard Pfaff <bp at callisto>
+
+ * man/gogarch.Rd: Adjusted Rd-file.
+ * R/Functions.R (gogarch): Changed argument "method" to "estby".
+
2009-02-13 Dr. Bernhard Pfaff <bp at callisto>
* man/Orthom-class.Rd: Fixed documentation for methods.
Modified: pkg/man/gogarch.Rd
===================================================================
--- pkg/man/gogarch.Rd 2009-02-13 22:03:21 UTC (rev 26)
+++ pkg/man/gogarch.Rd 2009-02-18 20:50:28 UTC (rev 27)
@@ -13,7 +13,7 @@
models.
}
\usage{
-gogarch(data, formula, scale = FALSE, method = c("ica", "mm", "ml", "nls"),
+gogarch(data, formula, scale = FALSE, estby = c("ica", "mm", "ml", "nls"),
lag.max = 1, initial = NULL, garchlist = list(init.rec = "mci", delta
= 2, skew = 1, shape = 4, cond.dist = "norm", include.mean = FALSE,
include.delta = NULL, include.skew = NULL, include.shape = NULL,
@@ -26,31 +26,31 @@
\item{formula}{Formula: valid formula for univariate GARCH models.}
\item{scale}{Logical, if \code{TRUE} the data is scaled. The default
is \code{scale = FALSE}.}
- \item{method}{Character: by fast ICA \code{method = "ica"} (the
- default), by Methods of Moments \code{method = "mm"} or by
- Maximum-Likelihood \code{method = "ml"} or by non-linear Least-Squares
- \code{method = "nls"}.}
+ \item{estby}{Character: by fast ICA \code{estby = "ica"} (the
+ default), by Estbys of Moments \code{estby = "mm"} or by
+ Maximum-Likelihood \code{estby = "ml"} or by non-linear Least-Squares
+ \code{estby = "nls"}.}
\item{initial}{Numeric: starting values for optimization (used if
- \code{method = "ml"} or \code{method = "nls"} has been chosen (see
+ \code{estby = "ml"} or \code{estby = "nls"} has been chosen (see
Details).}
\item{lag.max}{Integer: The number of used lags for computing the
- matched orthogonal matrices \eqn{U} (used if \code{method = "mm"}
+ matched orthogonal matrices \eqn{U} (used if \code{estby = "mm"}
has been chosen).}
\item{garchlist}{List: Elements are passed to \code{garchFit}.}
- \item{\dots}{Ellipsis argument: is passed to the function for
- determining the components (see details).}
+ \item{\dots}{Ellipsis argument: is passed to the \code{goest} method
+ (see details).}
}
\details{
The ellipsis argument is passed to the function \code{fastICA} if
- \code{method = "ica"} has been set, or to \code{optim} if \code{method
+ \code{estby = "ica"} has been set, or to \code{optim} if \code{estby
= "nls"} is employed or to \code{nlminb} if the GO-GARCH model is
- estimated by maximum likelihood, \emph{i.e.}, \code{method = "ml"}. It
+ estimated by maximum likelihood, \emph{i.e.}, \code{estby = "ml"}. It
is not employed if the methods of moments estimator is chosen.\cr
If the argument \code{initial} is left \code{NULL}, the starting
values are computed according \code{seq(3.0, 0.1, length.out = l)},
- whereby \code{l} is the length of \code{initial} for \code{method =
+ whereby \code{l} is the length of \code{initial} for \code{estby =
"ml"} and are set to \code{rep(0.1, d}, whereby \code{} for
\code{method = "nls"}. This length must be equal to \eqn{m * (m -
1)/2} for estimation by Maximum-Likelihood and \eqn{m * (m + 1)/2} for
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