[Highfrequency-commits] r27 - in pkg/highfrequency: R man

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

Author: jonathan
Date: 2012-07-23 23:26:56 +0200 (Mon, 23 Jul 2012)
New Revision: 27

Modified:
   pkg/highfrequency/R/realized.R
   pkg/highfrequency/man/heavyModel.Rd
Log:
heavymodel update

Modified: pkg/highfrequency/R/realized.R
===================================================================
--- pkg/highfrequency/R/realized.R	2012-07-23 16:17:40 UTC (rev 26)
+++ pkg/highfrequency/R/realized.R	2012-07-23 21:26:56 UTC (rev 27)
@@ -4007,7 +4007,7 @@
   xx$estparams =  estparams;
   
   return(xx)
-}
+}  
 
 transformparams = function( p, q, paramsvector ){
   K = dim(p)[1]; 

Modified: pkg/highfrequency/man/heavyModel.Rd
===================================================================
--- pkg/highfrequency/man/heavyModel.Rd	2012-07-23 16:17:40 UTC (rev 26)
+++ pkg/highfrequency/man/heavyModel.Rd	2012-07-23 21:26:56 UTC (rev 27)
@@ -59,5 +59,19 @@
 197-231. 
 }
 
+\examples{ 
+ # Implementation of the heavy model on DJI:
+ data("realized_library");
+ returns =  realized_library$Dow.Jones.Industrials.Returns; 
+ rk      =  realized_library$Dow.Jones.Industrials.Realized.Kernel; 
+ returns = returns[!is.na(rk)];  rk = rk[!is.na(rk)]; # Remove NA's 
+ data = cbind( returns^2, rk ); # Make data matrix with returns and realized measures
+ backcast = matrix( c(var(returns),mean(rk)) ,ncol=1);
+ 
+ startvalues = c(0.004,0.02,0.44,0.41,0.74,0.56); # Initial values
+# output = heavyModel( data = as.matrix(data,ncol=2), compconst=FALSE, 
+#                    startingvalues = startvalues, backcast=backcast); 
+}
+
 \author{Jonathan Cornelissen and Kris Boudt}
 \keyword{forecasting}