[Robast-commits] r479 - in branches/robast-0.9/pkg/RobExtremes: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed May 23 01:57:17 CEST 2012
Author: ruckdeschel
Date: 2012-05-23 01:57:17 +0200 (Wed, 23 May 2012)
New Revision: 479
Added:
branches/robast-0.9/pkg/RobExtremes/R/PickandsEstimator.R
branches/robast-0.9/pkg/RobExtremes/R/asvarMedkMAD.R
branches/robast-0.9/pkg/RobExtremes/R/asvarPickands.R
branches/robast-0.9/pkg/RobExtremes/man/PickandsEstimator.Rd
branches/robast-0.9/pkg/RobExtremes/man/asvarMedkMAD.Rd
branches/robast-0.9/pkg/RobExtremes/man/asvarPickands.Rd
Modified:
branches/robast-0.9/pkg/RobExtremes/NAMESPACE
branches/robast-0.9/pkg/RobExtremes/R/GParetoFamily.R
branches/robast-0.9/pkg/RobExtremes/R/LDEstimator.R
branches/robast-0.9/pkg/RobExtremes/R/interpolLM.R
branches/robast-0.9/pkg/RobExtremes/R/interpolSn.R
branches/robast-0.9/pkg/RobExtremes/R/sysdata.rda
branches/robast-0.9/pkg/RobExtremes/man/0RobExtremes-package.Rd
branches/robast-0.9/pkg/RobExtremes/man/GParetoFamily.Rd
branches/robast-0.9/pkg/RobExtremes/man/LDEstimator.Rd
branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateLM.Rd
branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateSn.Rd
Log:
RobExtremes:
new: + PickandsEstimator (incl. as.var)
+ as.var(MedkMAD)
some fixes in generating function to GParetoFamily
Modified: branches/robast-0.9/pkg/RobExtremes/NAMESPACE
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/NAMESPACE 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/NAMESPACE 2012-05-22 23:57:17 UTC (rev 479)
@@ -33,5 +33,5 @@
export("Gumbel", "Pareto", "GPareto", "GEV")
export("GParetoFamily", "GumbelLocationFamily")
export("LDEstimator", "medkMAD", "medSn", "medQn", "medkMADhybr")
-export("getShapeGrid", "getSnGrid")
-export("loc", "loc<-")
\ No newline at end of file
+export("getShapeGrid", "getSnGrid", "PickandsEstimator")
+export("loc", "loc<-", "asvarMedkMAD","asvarPickands")
\ No newline at end of file
Modified: branches/robast-0.9/pkg/RobExtremes/R/GParetoFamily.R
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/R/GParetoFamily.R 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/R/GParetoFamily.R 2012-05-22 23:57:17 UTC (rev 479)
@@ -74,6 +74,7 @@
## parameters
names(theta) <- c("loc", "scale", "shape")
+ scaleshapename <- c("scale", "shape")
if(is.null(trafo)){
tau <- NULL
@@ -337,7 +338,9 @@
E11 <- sc^-2
E12 <- (sc*(1+k))^-1
E22 <- 2/(1+k)
- return(PosSemDefSymmMatrix(matrix(c(E11,E12,E12,E22)/(1+2*k),2,2)))
+ mat <- PosSemDefSymmMatrix(matrix(c(E11,E12,E12,E22)/(1+2*k),2,2))
+ dimnames(mat) <- list(scaleshapename,scaleshapename)
+ return(mat)
}
FisherInfo <- FisherInfo.fct(param)
@@ -345,6 +348,7 @@
## initializing the GPareto family with components of L2-family
L2Fam <- new("GParetoFamily")
+ L2Fam at scaleshapename <- scaleshapename
L2Fam at name <- name
L2Fam at param <- param
L2Fam at distribution <- distribution
Modified: branches/robast-0.9/pkg/RobExtremes/R/LDEstimator.R
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/R/LDEstimator.R 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/R/LDEstimator.R 2012-05-22 23:57:17 UTC (rev 479)
@@ -138,10 +138,12 @@
medkMAD <- function(x, k=1, ParamFamily, q.lo =1e-3, q.up=15, nuis.idx = NULL,
- trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
+ trafo = NULL, fixed = NULL, na.rm = TRUE,
...){
es.call <- match.call()
if(missing(k)) k <- 1
+ asvar.fct <- function(L2Fam=ParamFamily, param){
+ asvarMedkMAD(model=L2Fam, k = k)}
es <- LDEstimator(x, loc.est = median, disp.est = kMAD,
loc.fctal = median, disp.fctal = kMAD,
ParamFamily = ParamFamily,
@@ -194,13 +196,13 @@
medkMADhybr <- function(x, k=1, ParamFamily, q.lo =1e-3, q.up=15,
KK=20, nuis.idx = NULL,
- trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
+ trafo = NULL, fixed = NULL, na.rm = TRUE,
...){
i <- 1
es <- try(medkMAD(x, k = k, ParamFamily = ParamFamily,
q.lo = q.lo, q.up = q.up,
nuis.idx = nuis.idx, trafo = trafo,
- fixed = fixed, asvar.fct = asvar.fct, na.rm = na.rm,
+ fixed = fixed, na.rm = na.rm,
...), silent=TRUE)
if(! any(is.na(es)) && !is(es,"try-error"))
{return(es)}
@@ -211,9 +213,11 @@
es <- try(medkMAD(x, k = k1, ParamFamily = ParamFamily,
q.lo = q.lo, q.up = q.up,
nuis.idx = nuis.idx, trafo = trafo,
- fixed = fixed, asvar.fct = asvar.fct, na.rm = na.rm,
+ fixed = fixed, na.rm = na.rm,
...), silent=TRUE)
k1 <- k1 * 3
+ es at asvar.fct <- function(L2Fam=ParamFamily, param){
+ asvarMedkMAD(model=L2Fam, k = k)}
if(! any(is.na(es)) && !is(es,"try-error"))
{return(es)}
}
Added: branches/robast-0.9/pkg/RobExtremes/R/PickandsEstimator.R
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/R/PickandsEstimator.R (rev 0)
+++ branches/robast-0.9/pkg/RobExtremes/R/PickandsEstimator.R 2012-05-22 23:57:17 UTC (rev 479)
@@ -0,0 +1,80 @@
+.PickandsEstimator <- function(x, alpha = 2){
+ a1 <- 1-1/alpha
+ a2 <- 1-1/alpha^2
+
+ ms <- quantile(x,c(a1,a2))
+ names(ms) <- NULL
+ I <- ms[2]
+ m <- ms[1]
+ xi <- abs( log((I-m)/m)/log(1-a1))
+ beta <- xi*m^2/abs(I-2*m)
+ theta <- c(beta,xi)
+ names(theta) <- c("scale","shape")
+ return(theta)
+}
+
+PickandsEstimator <- function(x, alpha = 2, ParamFamily=GParetoFamily(),
+ name, Infos, asvar = NULL, nuis.idx = NULL,
+ trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
+ ...){
+ if(!is(ParamFamily,"GParetoFamily"))
+ stop("Pickands estimator only available for GPD.")
+ name.est <- "PickandsEstimator"
+ es.call <- match.call()
+ error <- FALSE
+ if(length(alpha)>1 || any(!is.finite(alpha)) || any(alpha<=1))
+ stop("'alpha' has to be a numeric > 1 of length 1.")
+
+ if(missing(name))
+ name <- "Some estimator"
+
+
+ asvar.fct.0 <- function(L2Fam=ParamFamily, param){
+ asvarPickands(model=L2Fam, alpha = alpha)}
+ asvar.0 <- asvarPickands(model=ParamFamily, alpha = alpha)
+ nuis.idx.0 <- nuis.idx
+ trafo.0 <- trafo
+ fixed.0 <- fixed
+ na.rm.0 <- na.rm
+
+ estimate <- Estimator(x, .PickandsEstimator, name, Infos,
+ asvar = asvar.0, nuis.idx = nuis.idx.0,
+ trafo = trafo.0, fixed = fixed.0,
+ na.rm = na.rm.0, alpha = alpha, ...)
+ if(missing(asvar)) asvar <- NULL
+ if(is.null(asvar))
+ if(!missing(asvar.fct))
+ if(!is.null(asvar.fct))
+ asvar <- asvar.fct(ParamFamily, estimate, alpha = alpha, ...)
+
+ estimate at untransformed.asvar <- asvar
+
+
+ l.e <- length(estimate at untransformed.estimate)
+ idx <- NULL
+ idm <- 1:l.e
+ if(!is.null(nuis.idx))
+ {idx <- nuis.idx
+ idm <- idm[-idx]
+ mat <- diag(length(idm))}
+
+ if(!.isUnitMatrix(estimate at trafo$mat)){
+ estimate at estimate <- estimate at trafo$fct(estimate)
+ if(!is.null(asvar))
+ estimate at asvar <- estimate at trafo$mat%*%asvar[idm,idm]%*%t(estimate at trafo$mat)
+ }
+
+ estimate at estimate.call <- es.call
+
+ if(missing(Infos))
+ Infos <- matrix(c("PickandsEstimator", ""),
+ ncol=2, dimnames=list(character(0), c("method", "message")))
+ else{
+ Infos <- matrix(c(rep("PickandsEstimator", length(Infos)+1), c("",Infos)),
+ ncol = 2)
+ colnames(Infos) <- c("method", "message")
+ }
+ estimate at Infos <- Infos
+
+ return(estimate)
+}
Added: branches/robast-0.9/pkg/RobExtremes/R/asvarMedkMAD.R
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/R/asvarMedkMAD.R (rev 0)
+++ branches/robast-0.9/pkg/RobExtremes/R/asvarMedkMAD.R 2012-05-22 23:57:17 UTC (rev 479)
@@ -0,0 +1,81 @@
+asvarMedkMAD <- function( model, k=1){
+ if(! is(model, "L2ScaleShapeUnion"))
+ stop("This function only works for Scale-Shape models")
+
+ scshn <- scaleshapename(model)
+ par0 <- main(model at param)[scshn]
+ beta <- par0[1]; xi <- par0[2]
+
+ M <- kMAD(model at distribution, k=k)
+ m <- q(model)(.5)
+
+ x1.0 <- m - M
+ x2.0 <- m + k * M
+
+ ## joint Variance of median and kMAD, see Serfling Mazumder
+ dmm <- d(model)(x1.0)
+ dmp <- d(model)(x2.0)
+ dm <- d(model)(m)
+ alpha <- p(model)(m-M)+p(model)(m+k*M)
+ betA <- dmm-dmp
+ ceta <- dmm+k*dmp
+ eta <- betA^2 + 4*(1-alpha)*betA*dm
+
+ g22 <- 1/4/dm^2
+ g12 <- 1/4/dm/ceta*(1-4*p(model)(m-M)+betA/dm)
+ g11 <- 1/4/ceta^2*(1+eta/dm^2)
+
+ V <- matrix(c(g11,g12,g12,g22),2,2)
+
+ if(is(model,"GParetoFamily")){
+ uf <- function(x) 1+xi*x/beta
+ u1.0 <- uf(x1.0)
+ u2.0 <- uf(x2.0)
+ um.0 <- uf(m)
+
+ dfc <- function(u1,u2,s1,s2,fct) s2*fct(u2)-s1*fct(u1)
+
+ uxi <- function(u) u^(-1/xi-1)
+
+ Gxi <- function(u) uxi(u)*(u*(1-log(u))-1)/xi^2
+ Gbet <- function(u) uxi(u)*(1-u)/xi/beta
+ Gx <- function(u) uxi(u)/beta
+
+ dG1_xi <- dfc(u1=u1.0,u2=u2.0,s1= 1,s2=1,fct=Gxi)
+ dG1_beta <- dfc(u1=u1.0,u2=u2.0,s1= 1,s2=1,fct=Gbet)
+ dG1_M <- dfc(u1=u1.0,u2=u2.0,s1=-1,s2=k,fct=Gx)
+ dG1_m <- dfc(u1=u1.0,u2=u2.0,s1= 1,s2=1,fct=Gx)
+
+ dG2_xi <- Gxi(um.0)
+ dG2_beta <- Gbet(um.0)
+ dG2_M <- 0
+ dG2_m <- Gx(um.0)
+
+ D1 <- matrix(c(dG1_beta,dG2_beta,dG1_xi,dG2_xi),2,2)
+ D2 <- matrix(c(dG1_M,dG2_M,dG1_m,dG2_m),2,2)
+
+ D <- -solve(D1)%*%D2
+ }else{
+ psi_med <- function(x) (0.5-(x<=m))/dm
+ psi_kMad <- function(x){
+ cp <- k*dmp+dmm
+ cm = dmp-dmm
+ return((0.5-((x<=m+k*M)&(x>=m-M)))/cp + cm/cp*((x<=m)-0.5)/dm)
+ }
+
+ L2d <- model at L2deriv[[1]]
+ L_xi.f = function(x) evalRandVar(L2d,x)[2,]
+ L_beta.f = function(x) evalRandVar(L2d,x)[1,]
+
+ E11 <- E(distribution(model),fun=function(x) psi_kMad(x) * L_beta.f(x))
+ E12 <- E(distribution(model),fun=function(x) psi_kMad(x) * L_xi.f(x))
+ E21 <- E(distribution(model),fun=function(x) psi_med(x) * L_beta.f(x))
+ E22 <- E(distribution(model),fun=function(x) psi_med(x) * L_xi.f(x))
+ D <- solve(matrix(c(E11,E21,E12,E22),2,2))
+ }
+
+ ASV_Med <- PosSemDefSymmMatrix(D %*% V %*% t(D))
+ dimnames(ASV_Med) <- list(scshn,scshn)
+ return(ASV_Med)
+}
+
Added: branches/robast-0.9/pkg/RobExtremes/R/asvarPickands.R
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/R/asvarPickands.R (rev 0)
+++ branches/robast-0.9/pkg/RobExtremes/R/asvarPickands.R 2012-05-22 23:57:17 UTC (rev 479)
@@ -0,0 +1,55 @@
+asvarPickands <- function( model, alpha=2){
+
+ if(! is(model, "GParetoFamily"))
+ stop("This function only works for GPD models")
+ scshn <- scaleshapename(model)
+ par0 <- main(model at param)[scshn]
+ beta <- par0[1]; xi <- par0[2]
+
+
+ al1 <- 1-1/alpha
+ al2 <- 1-1/alpha^2
+ M2 <- q(model)(al1)
+ M4 <- q(model)(al2)
+
+ h11 <- -M4/(M2*(M4-M2))/log(alpha)
+ h12 <- 1/(M4-M2)/log(alpha)
+ t1 <- 2*M2*(M4-M2)/(M4-2*M2)^2
+ t2 <- -M2^2/(M4-2*M2)^2
+ h21 <- h11*M2^2/(M4-2*M2) + t1*log((M4-M2)/M2)/log(alpha)
+ h22 <- h12*M2^2/(M4-2*M2) + t2*log((M4-M2)/M2)/log(alpha)
+
+
+ C <- matrix(c(h21,h22,h11,h12),2,2)
+
+# f1 <- (1-al1)^(1+xi)/beta
+# f2 <- (1-al2)^(1+xi)/beta
+# M <- matrix(c(al1-1,al2-1,al1,al2-1,al1,al2),ncol=3)
+# Werte <- t(C) %*% diag(1/c(f1,f2)) %*% M
+# GES <- max(colSums(Werte^2)^.5)
+# GES
+
+ s11 <- al1*(1-al1)^(-1-2*xi)
+ s12 <- al1*(1-al1)^(-1-xi)*(1-al2)^(-xi)
+ s21 <- s12
+ s22 <- al2*(1-al2)^(-1-2*xi)
+
+ S <- beta^2*matrix(c(s11,s12,s21,s22),2,2)
+
+ ASV_Pick <- t(C) %*% S %*% (C)
+ ASV_Pick <- PosSemDefSymmMatrix(ASV_Pick)
+ dimnames(ASV_Pick) <- list(scshn,scshn)
+ return(ASV_Pick)
+}
+
+
+
+
+
+
+
+
+
+
+
+
Modified: branches/robast-0.9/pkg/RobExtremes/R/interpolLM.R
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/R/interpolLM.R 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/R/interpolLM.R 2012-05-22 23:57:17 UTC (rev 479)
@@ -10,7 +10,7 @@
.RMXE.xi <- function(xi, PFam){
PFam <- .modify.xi.PFam.call(xi,PFam)
IC <- radiusMinimaxIC(L2Fam=PFam, neighbor= ContNeighborhood(),
- risk = asMSE(), verbose = FALSE)
+ risk = asMSE(), verbose = TRUE)
return(c(b=clip(IC), a=cent(IC), a.w = cent(weight(IC)),
A=stand(IC), A.w = stand(weight(IC))))
}
@@ -47,7 +47,7 @@
itLM <<- itLM + 1
if(withPrint) cat("Evaluation Nr.", itLM," at xi = ",xi,"\n")
a <- try(optFct(xi,PFam), silent=TRUE)
- if(is(a,"try-error")) a <- rep(NA,14)
+ if(is(a,"try-error")) a <- rep(NA,13)
return(a)
}
@@ -68,6 +68,7 @@
})
LMGrid <- sapply(xiGrid,getLM)
+ save("LMGrid.Rdata")
res <- .MakeGridList(xiGrid, Y=t(LMGrid), withSmooth = withSmooth)
print(res)
return(list(grid = res$grid,
@@ -113,16 +114,17 @@
fct = fct))
}
+.myFolder <- "C:/rtest/RobASt/branches/robast-0.9/pkg/RobExtremes/R"
.svInt <- function(optF = .RMXE.xi, nam = ".RMXE")
- .saveInterpGrid(xiGrid = getShapeGrid(400,
- cutoff.at.0=0.005),
+ .saveInterpGrid(xiGrid = getShapeGrid(250,
+ cutoff.at.0=0.01),
PFam = GParetoFamily(shape=1,scale=2),
- sysRdaFolder = .myFolder, optFct = optF,
+ sysRdaFolder=.myFolder, optFct = optF,
nameInSysdata = nam, getFun = .getLMGrid,
withSmooth = TRUE, withPrint = TRUE)
if(FALSE){
-.myFolder <- "C:/rtest/RobASt/branches/robast-0.9/pkg/ROptEst/R"
+.myFolder <- "C:/rtest/RobASt/branches/robast-0.9/pkg/RobExtremes/R"
svInt <- RobExtremes:::.svInt;
.OMSE.xi <- RobExtremes:::.OMSE.xi
.MBRE.xi <- RobExtremes:::.MBRE.xi
@@ -130,4 +132,34 @@
.svInt(.OMSE.xi, ".OMSE")
.svInt(.MBRE.xi, ".MBRE")
.svInt(.RMXE.xi, ".RMXE")
+
+### to move it from ROptEst to RobExtremes:
+ oldEnv <- new.env()
+ newEnv <- new.env()
+ oldfolder <- "C:/rtest/RobASt/branches/robast-0.9/pkg/ROptEst/R"
+ newfolder <- "C:/rtest/RobASt/branches/robast-0.9/pkg/RobExtremes/R"
+ sysdataFile.old <- file.path(oldfolder,"sysdata.rda")
+ sysdataFile.new <- file.path(newfolder,"sysdata.rda")
+ cat("sysdataFiles = ", sysdataFile.old,",\n",sysdataFile.new, "\n")
+
+ load(file=sysdataFile.old,envir=oldEnv)
+ load(file=sysdataFile.new,envir=newEnv)
+ whatIsThereAlready.old <- ls(envir=oldEnv, all.names=TRUE)
+ cat("whatIsThereAlready (old) = ", head(whatIsThereAlready.old), "\n")
+
+ whatIsThereAlready.new <- ls(envir=newEnv, all.names=TRUE)
+ cat("whatIsThereAlready (new) = ", head(whatIsThereAlready.new), "\n")
+
+ for(what in whatIsThereAlread.old){
+ assign(get(what, envir=oldEnv), envir=newEnv)
+ }
+ whatIsThereAlready <- ls(envir=newEnv, all.names=TRUE)
+ cat("whatIsThereAlready (now) = ", head(whatIsThereAlready.new), "\n")
+
+ save(list=whatIsThereAlready, file=sysdataFile, envir=newEnv)
+ tools::resaveRdaFiles(newfolder)
+
+ cat(gettextf("%s successfully written to sysdata.rda file.\n",
+ whatIsThereAlready))
+
}
Modified: branches/robast-0.9/pkg/RobExtremes/R/interpolSn.R
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/R/interpolSn.R 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/R/interpolSn.R 2012-05-22 23:57:17 UTC (rev 479)
@@ -28,7 +28,7 @@
n.u <- 7*n.d + (gridsize-l.xi.g)%%8
if(n.u>0){
- p.u <- pnorm((xi.g[l.xi.g]-centralvalue)/fac, lower=FALSE)
+ p.u <- pnorm((xi.g[l.xi.g]-centralvalue)/fac, lower.tail=FALSE)
p.u2 <- 1-p.u + p.u*(1:n.u)/(n.u+1)
xi.u <- centralvalue + fac * qnorm(p.u2)
xi.g <- c(xi.g,xi.u)
@@ -68,6 +68,7 @@
return(Sn(x=distr, accuracy = accuracy, low=low, upp = upp))
}
SnGrid <- sapply(xiGrid,getSn)
+ rm(PFam)
iNA <- is.na(SnGrid)
SnGrid <- SnGrid[!iNA]
xiGrid <- xiGrid[!iNA]
Modified: branches/robast-0.9/pkg/RobExtremes/R/sysdata.rda
===================================================================
(Binary files differ)
Modified: branches/robast-0.9/pkg/RobExtremes/man/0RobExtremes-package.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/0RobExtremes-package.Rd 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/man/0RobExtremes-package.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -92,9 +92,13 @@
\section{Functions}{
\preformatted{
-
-
-
+LDEstimator Estimators for scale-shape models based on location and dispersion
+medSn loc=median disp=Sn
+medQn loc=median disp=Qn
+medkMAD loc=median disp=kMAD
+asvarMedkMAD [asy. variance to MedkMADE]
+PickandsEstimator PickandsEstimator
+asvarPickands [asy. variance to PickandsE]
}}
\section{Generating Functions}{
@@ -128,10 +132,16 @@
Qn Generic functions for the computation of
functionals
-
}
}
+\section{Constants}{
+\preformatted{
+EULERMASCHERONICONSTANT
+APERYCONSTANT
+
+}}
+
\section{Start-up-Banner}{
You may suppress the start-up banner/message completely by setting
\code{options("StartupBanner"="off")} somewhere before loading this package by
Modified: branches/robast-0.9/pkg/RobExtremes/man/GParetoFamily.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/GParetoFamily.Rd 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/man/GParetoFamily.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -49,7 +49,7 @@
Peter Ruckdeschel \email{peter.ruckdeschel at itwm.fraunhofer.de}\cr
Nataliya Horbenko \email{nataliya.horbenko at itwm.fraunhofer.de}}
%\note{}
-\seealso{\code{\link{[distrMod:L2ParamFamily-class]L2ParamFamily-class}}, \code{\link{GPareto-class}}}
+\seealso{\code{\link{[distrMod:"L2ParamFamily-class"]L2ParamFamily-class}}, \code{\link{GPareto-class}}}
\examples{
(G1 <- GParetoFamily())
FisherInfo(G1)
Modified: branches/robast-0.9/pkg/RobExtremes/man/LDEstimator.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/LDEstimator.Rd 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/man/LDEstimator.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -22,10 +22,10 @@
trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
...)
medkMAD(x, k=1, ParamFamily, q.lo =1e-3, q.up=15, nuis.idx = NULL,
- trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
+ trafo = NULL, fixed = NULL, na.rm = TRUE,
...)
medkMADhybr(x, k=1, ParamFamily, q.lo =1e-3, q.up=15, KK = 20, nuis.idx = NULL,
- trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
+ trafo = NULL, fixed = NULL, na.rm = TRUE,
...)
medSn(x, ParamFamily, q.lo =1e-3, q.up=10, nuis.idx = NULL,
trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
@@ -58,7 +58,8 @@
for the location functional. }
\item{disp.fctal.ctrl}{a list (or \code{NULL}); optional additional arguments
for the dispersion functional. }
- \item{k}{numeric; additional parameter for \code{\link{kMAD}}. }
+ \item{k}{numeric; additional parameter for \code{\link{kMAD}}; must be positive
+ and of length 1.}
\item{KK}{numeric; Maximal number of trials with different \code{k} in
\code{medkMADhybr} . }
\item{q.lo}{numeric; lower bound for search intervall in shape parameter. }
Added: branches/robast-0.9/pkg/RobExtremes/man/PickandsEstimator.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/PickandsEstimator.Rd (rev 0)
+++ branches/robast-0.9/pkg/RobExtremes/man/PickandsEstimator.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -0,0 +1,74 @@
+\name{PickandsEstimator}
+\alias{PickandsEstimator}
+\alias{.PickandsEstimator}
+
+\title{ Function to compute Pickands estimates for the GPD}
+\description{
+ Function \code{PickandsEstimator} computes Pickands estimator
+ (for the GPD) at real data and returns an object of class \code{Estimate}.
+}
+\usage{
+PickandsEstimator(x, alpha=2, ParamFamily=GParetoFamily(),
+ name, Infos, asvar = NULL, nuis.idx = NULL,
+ trafo = NULL, fixed = NULL, asvar.fct = NULL, na.rm = TRUE,
+ ...)
+.PickandsEstimator(x, alpha=2)
+}
+\arguments{
+ \item{x}{ (empirical) data }
+ \item{alpha}{ numeric > 1; determines the variant of the Pickands-Estimator
+ based on matching the empirical \eqn{a_1=1-1/\alpha}{a1=1-1/alpha} and
+ \eqn{a_1=1-1/\alpha^2}{a1=1-1/alpha^2} quantiles against the
+ population counter parts. The ``classical'' Pickands Estimator is
+ obtained for \code{alpha=2}. }
+ \item{ParamFamily}{an object of class \code{"GParetoFamily"}. }
+ \item{name}{ optional name for estimator. }
+ \item{Infos}{ character: optional informations about estimator }
+ \item{asvar}{ optionally the asymptotic (co)variance of the estimator }
+ \item{nuis.idx}{ optionally the indices of the estimate belonging
+ to nuisance parameter}
+ \item{fixed}{ optionally (numeric) the fixed part of the parameter}
+ \item{trafo}{ an object of class \code{MatrixorFunction} -- a transformation
+ for the main parameter}
+ \item{asvar.fct}{optionally: a function to determine the corresponding
+ asymptotic variance; if given, \code{asvar.fct} takes arguments
+ \code{L2Fam}((the parametric model as object of class \code{L2ParamFamily}))
+ and \code{param} (the parameter value as object of class
+ \code{ParamFamParameter}); arguments are called by name; \code{asvar.fct}
+ may also process further arguments passed through the \code{\dots} argument}
+ \item{na.rm}{logical: if \code{TRUE}, the estimator is evaluated at \code{complete.cases(x)}.}
+ \item{\dots}{not yet used. }
+}
+\details{
+ The actual work is done in \code{.PickandsEstimator}.
+ The wrapper \code{PickandsEstimator} pre-treats the data,
+ and constructs a respective \code{Estimate} object.
+}
+\value{
+ \item{.PickandsEstimator}{A numeric vector of length \code{2} with components
+ named \code{scale} and \code{shape}. }
+ \item{PickandsEstimator}{An object of S4-class \code{"Estimate"}. }
+}
+\references{
+P. Ruckdeschel, N. Horbenko (2011): Yet another breakdown point notion:
+EFSBP --illustrated at scale-shape models. ArXiv 1005.1480. To appear at Metrika.
+DOI: 10.1007/s00184-011-0366-4.
+
+}
+
+%\references{ }
+\author{Nataliya Horbenko \email{Nataliya.Horbenko at itwm.fraunhofer.de},\cr
+ Peter Ruckdeschel \email{Peter.Ruckdeschel at itwm.fraunhofer.de}}
+%\note{}
+\seealso{\code{\link{ParamFamily-class}}, \code{\link{ParamFamily}},
+ \code{\link{Estimate-class}} }
+\examples{
+## (empirical) Data
+x <- rgpd(50, scale = 0.5, shape = 3)
+
+## parametric family of probability measures
+G <- GParetoFamily(scale = 1, shape = 2)
+
+PickandsEstimator(x = x, ParamFamily = G)
+}
+\keyword{univar}
Added: branches/robast-0.9/pkg/RobExtremes/man/asvarMedkMAD.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/asvarMedkMAD.Rd (rev 0)
+++ branches/robast-0.9/pkg/RobExtremes/man/asvarMedkMAD.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -0,0 +1,44 @@
+\name{asvarMedkMAD}
+\alias{asvarMedkMAD}
+
+\title{ Function to compute asymptotic variance of MedkMAD estimator}
+\description{
+ Function \code{asvarMedkMAD} computes the asymptotic (co)variance of
+ a MedkMAD estimator at a Scale-Shape model.
+}
+\usage{
+asvarMedkMAD( model, k=1)
+}
+\arguments{
+ \item{model}{an object of class \code{"ScaleShapeUnion"}. }
+ \item{k}{numeric (>0); additional parameter for \code{\link{kMAD}}. }
+}
+\details{
+For the Generalized Pareto Family all terms are analytic; in case
+of the general scale-shape model, numerical integration is used.
+}
+\value{
+ A 2x2 matrix; the covariance. }
+
+\references{
+Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in Generalized
+Pareto Models. ArXiv 1005.1476. To appear at \emph{Statistics}.
+DOI: 10.1080/02331888.2011.628022. \cr
+
+}
+
+%\references{ }
+\author{Peter Ruckdeschel \email{Peter.Ruckdeschel at itwm.fraunhofer.de}}
+%\note{}
+\seealso{\code{\link{LDEstimator}} }
+\examples{
+GP <- GParetoFamily(scale=1,shape=0.7)
+asvarMedkMAD(GP,k=1)
+
+## for didactical purposes turn GP into a non-GPD
+setClass("noGP",contains="L2ScaleShapeUnion")
+GP2 <- GP
+class(GP2) <- "noGP"
+asvarMedkMAD(GP2,k=1) ### uses numerical integration
+}
+\keyword{asymptotic variance}
Added: branches/robast-0.9/pkg/RobExtremes/man/asvarPickands.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/asvarPickands.Rd (rev 0)
+++ branches/robast-0.9/pkg/RobExtremes/man/asvarPickands.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -0,0 +1,42 @@
+\name{asvarPickands}
+\alias{asvarPickands}
+
+\title{ Function to compute asymptotic variance of Pickands estimator}
+\description{
+ Function \code{asvarPickands} computes the asymptotic (co)variance of
+ a Pickands estimator at a GPD model.
+}
+\usage{
+asvarPickands( model, alpha=2)
+}
+\arguments{
+ \item{model}{an object of class \code{"ScaleShapeUnion"}. }
+ \item{alpha}{ numeric > 1; determines the variant of the Pickands-Estimator
+ based on matching the empirical \eqn{a_1=1-1/\alpha}{a1=1-1/alpha} and
+ \eqn{a_1=1-1/\alpha^2}{a1=1-1/alpha^2} quantiles against the
+ population counter parts. The ``classical'' Pickands Estimator is
+ obtained for \code{alpha=2}. }
+}
+\details{
+All terms are analytic.
+}
+\value{
+ A 2x2 matrix; the covariance. }
+
+\references{
+Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in Generalized
+Pareto Models. ArXiv 1005.1476. To appear at \emph{Statistics}.
+DOI: 10.1080/02331888.2011.628022. \cr
+
+}
+
+%\references{ }
+\author{Peter Ruckdeschel \email{Peter.Ruckdeschel at itwm.fraunhofer.de}}
+%\note{}
+\seealso{\code{\link{PickandsEstimator}} }
+\examples{
+GP <- GParetoFamily(scale=1,shape=0.7)
+asvarPickands(GP)
+asvarPickands(GP,alpha=2.3)
+}
+\keyword{asymptotic variance}
Modified: branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateLM.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateLM.Rd 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateLM.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -23,7 +23,7 @@
.OMSE.xi(xi, PFam)
.getLMGrid(xiGrid = getShapeGrid(),
- PFam = GParetoFamily(scale=1),
+ PFam = GParetoFamily(scale=1, shape=2),
optFct = .RMXE.xi,
withSmooth = TRUE,
withPrint = FALSE)
Modified: branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateSn.Rd
===================================================================
--- branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateSn.Rd 2012-05-22 22:59:49 UTC (rev 478)
+++ branches/robast-0.9/pkg/RobExtremes/man/internal-interpolateSn.Rd 2012-05-22 23:57:17 UTC (rev 479)
@@ -66,7 +66,8 @@
\examples{
\dontrun{
### code to produce grid for GPareto:
-RobExtremes:::.saveInterpGrid(sysRdaFolder =
+RobExtremes:::.saveInterpGrid(getShapeGrid(gridsize=500,
+ cutoff.at.0=0.005),sysRdaFolder =
"C:/rtest/RobASt/branches/robast-0.9/pkg/RobExtremes/R",
accuracy = 5000,upp=10)
}
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