[Returnanalytics-commits] r2701 - in pkg/FactorAnalytics: . R man

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

Author: chenyian
Date: 2013-08-02 21:07:35 +0200 (Fri, 02 Aug 2013)
New Revision: 2701

Removed:
   pkg/FactorAnalytics/man/CornishFisher.Rd
Modified:
   pkg/FactorAnalytics/NAMESPACE
   pkg/FactorAnalytics/R/predict.TimeSeriesFactorModel.r
   pkg/FactorAnalytics/man/
   pkg/FactorAnalytics/man/predict.TimeSeriesFactorModel.Rd
Log:


Modified: pkg/FactorAnalytics/NAMESPACE
===================================================================
--- pkg/FactorAnalytics/NAMESPACE	2013-08-02 18:01:50 UTC (rev 2700)
+++ pkg/FactorAnalytics/NAMESPACE	2013-08-02 19:07:35 UTC (rev 2701)
@@ -1,14 +1,18 @@
+export(dCornishFisher)
 export(factorModelMonteCarlo)
 export(fitTimeSeriesFactorModel)
+export(pCornishFisher)
+export(qCornishFisher)
+export(rCornishFisher)
 S3method(plot,FundamentalFactorModel)
 S3method(plot,StatFactorModel)
 S3method(plot,TimeSeriesFactorModel)
 S3method(predict,FundamentalFactorModel)
 S3method(predict,StatFactorModel)
+S3method(predict,TimeSeriesFactorModel)
 S3method(print,FundamentalFactorModel)
 S3method(print,StatFactorModel)
 S3method(print,TimeSeriesFactorModel)
 S3method(summary,FundamentalFactorModel)
 S3method(summary,StatFactorModel)
 S3method(summary,TimeSeriesFactorModel)
-S3method(TimeSeriesFactorModel)

Modified: pkg/FactorAnalytics/R/predict.TimeSeriesFactorModel.r
===================================================================
--- pkg/FactorAnalytics/R/predict.TimeSeriesFactorModel.r	2013-08-02 18:01:50 UTC (rev 2700)
+++ pkg/FactorAnalytics/R/predict.TimeSeriesFactorModel.r	2013-08-02 19:07:35 UTC (rev 2701)
@@ -21,7 +21,7 @@
 #' predict(fit)
 #' predict(fit,newdata,interval="confidence")
 #' 
-#' @method TimeSeriesFactorModel
+#' @method predict TimeSeriesFactorModel
 #' @export
 #' 
 


Property changes on: pkg/FactorAnalytics/man
___________________________________________________________________
Modified: svn:ignore
   - covEWMA.Rd
plot.MacroFactorModel.Rd
print.MacroFactorModel.Rd
summary.MacroFactorModel.Rd
summary.TimeSeriesModel.Rd

   + CornishFisher.Rd
covEWMA.Rd
plot.MacroFactorModel.Rd
print.MacroFactorModel.Rd
summary.MacroFactorModel.Rd
summary.TimeSeriesModel.Rd


Deleted: pkg/FactorAnalytics/man/CornishFisher.Rd
===================================================================
--- pkg/FactorAnalytics/man/CornishFisher.Rd	2013-08-02 18:01:50 UTC (rev 2700)
+++ pkg/FactorAnalytics/man/CornishFisher.Rd	2013-08-02 19:07:35 UTC (rev 2701)
@@ -1,74 +0,0 @@
-\name{CornishFisher}
-\alias{CornishFisher}
-\alias{dCornishFisher}
-\alias{pCornishFisher}
-\alias{qCornishFisher}
-\alias{rCornishFisher}
-\title{Functions for Cornish-Fisher density, CDF, random number simulation and
-quantile.}
-\arguments{
-  \item{n}{scalar, number of simulated values in
-  rCornishFisher. Sample length in
-  density,distribution,quantile function.}
-
-  \item{sigma}{scalar, standard deviation.}
-
-  \item{skew}{scalar, skewness.}
-
-  \item{ekurt}{scalar, excess kurtosis.}
-
-  \item{seed}{set seed here. Default is \code{NULL}.}
-
-  \item{x,q}{vector of standardized quantiles. See detail.}
-
-  \item{p}{vector of probabilities.}
-}
-\value{
-  n simulated values from Cornish-Fisher distribution.
-}
-\description{
-  \code{dCornishFisher} Computes Cornish-Fisher density
-  from two term Edgeworth expansion given mean, standard
-  deviation, skewness and excess kurtosis.
-  \code{pCornishFisher} Computes Cornish-Fisher CDF from
-  two term Edgeworth expansion given mean, standard
-  deviation, skewness and excess kurtosis.
-  \code{qCornishFisher} Computes Cornish-Fisher quantiles
-  from two term Edgeworth expansion given mean, standard
-  deviation, skewness and excess kurtosis.
-  \code{rCornishFisher} simulate observations based on
-  Cornish-Fisher quantile expansion given mean, standard
-  deviation, skewness and excess kurtosis.
-}
-\details{
-  CDF(q) = Pr(sqrt(n)*(x_bar-mu)/sigma < q)
-}
-\examples{
-# generate 1000 observation from Cornish-Fisher distribution
-rc <- rCornishFisher(1000,1,0,5)
-hist(rc,breaks=100,freq=FALSE,main="simulation of Cornish Fisher Distribution",
-      xlim=c(-10,10))
-lines(seq(-10,10,0.1),dnorm(seq(-10,10,0.1),mean=0,sd=1),col=2)
-# compare with standard normal curve
-
-# example from A.dasGupta p.188 exponential example
-# x is iid exp(1) distribution, sample size = 5
-# then x_bar is Gamma(shape=5,scale=1/5) distribution
-q <- c(0,0.4,1,2)
-# exact cdf
-pgamma(q/sqrt(5)+1,shape=5,scale=1/5)
-# use CLT
-pnorm(q)
-# use edgeworth expansion
-pCornishFisher(q,n=5,skew=2,ekurt=6)
-}
-\author{
-  Eric Zivot and Yi-An Chen.
-}
-\references{
-  A.DasGupta, "Asymptotic Theory of Statistics and
-  Probability", Springer Science+Business Media,LLC 2008
-  Thomas A.Severini, "Likelihood Methods in Statistics",
-  Oxford University Press, 2000
-}
-

Modified: pkg/FactorAnalytics/man/predict.TimeSeriesFactorModel.Rd
===================================================================
--- pkg/FactorAnalytics/man/predict.TimeSeriesFactorModel.Rd	2013-08-02 18:01:50 UTC (rev 2700)
+++ pkg/FactorAnalytics/man/predict.TimeSeriesFactorModel.Rd	2013-08-02 19:07:35 UTC (rev 2701)
@@ -2,8 +2,8 @@
 \alias{predict.TimeSeriesFactorModel}
 \title{predict method for TimeSeriesModel object.}
 \usage{
-  \method{TimeSeriesFactorModel}{} (object, newdata = NULL,
-    ...)
+  \method{predict}{TimeSeriesFactorModel} (object,
+    newdata = NULL, ...)
 }
 \arguments{
   \item{object}{A fit object created by