[Yuima-commits] r31 - in pkg/yuima: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Nov 24 23:20:15 CET 2009
Author: iacus
Date: 2009-11-24 23:20:15 +0100 (Tue, 24 Nov 2009)
New Revision: 31
Modified:
pkg/yuima/R/sim.euler.R
pkg/yuima/R/simulate.R
pkg/yuima/R/yuima.model.R
pkg/yuima/man/setModel.Rd
pkg/yuima/man/setSampling.Rd
pkg/yuima/man/simulate.Rd
pkg/yuima/man/yuima.sampling-class.Rd
Log:
now passes CMD CHECK
Modified: pkg/yuima/R/sim.euler.R
===================================================================
--- pkg/yuima/R/sim.euler.R 2009-11-24 18:32:20 UTC (rev 30)
+++ pkg/yuima/R/sim.euler.R 2009-11-24 22:20:15 UTC (rev 31)
@@ -152,7 +152,7 @@
}else{
stop("Sorry. CP only supports dexp, dnorm and dgamma yet.")
}
- randJ <- eval(F)
+ randJ <- eval(F) ## this expression is evaluated locally not in the yuimaEnv
j <- 1
for(i in 1:division){
if(JAMP==FALSE || sum(i==ij)==0){
@@ -162,7 +162,7 @@
j <- j+1
##cat(paste(J,"\n"))
##Pi <- zeta(dX,J)
- assign(sdeModel at jump.variable, J)
+ assign(sdeModel at jump.variable, J, env)
##Pi <- p.b.j(t=i*delta,X=dX) %*% J
Pi <- p.b.j(t=i*delta, X=dX)
}
Modified: pkg/yuima/R/simulate.R
===================================================================
--- pkg/yuima/R/simulate.R 2009-11-24 18:32:20 UTC (rev 30)
+++ pkg/yuima/R/simulate.R 2009-11-24 22:20:15 UTC (rev 31)
@@ -122,22 +122,22 @@
}
-
- ##:: using Euler-Maruyama method
+##:: using Euler-Maruyama method
delta <- Terminal/division
- if (missing(increment.W)){
- if (sdeModel at hurst!=1/2){
+
+
+ if(missing(increment.W)){
+ if( sdeModel at hurst!=0.5 ){
grid<-sampling2grid(yuima at sampling)
- dW<-CholeskyfGn(grid,sdeModel at hurst)
- dW <- t(matrix(dW, nrow=division, ncol=r.size))
- }else{
+ dW<-CholeskyfGn(grid, sdeModel at hurst)
+ dW <- t(matrix(dW, nrow=division, ncol=r.size))
+ } else {
delta<-Terminal/division
dW <- rnorm(division * r.size, 0, sqrt(delta))
dW <- t(matrix(dW, nrow=division, ncol=r.size))
}
-
- }else{
+ } else {
dW <- increment.W
}
Modified: pkg/yuima/R/yuima.model.R
===================================================================
--- pkg/yuima/R/yuima.model.R 2009-11-24 18:32:20 UTC (rev 30)
+++ pkg/yuima/R/yuima.model.R 2009-11-24 22:20:15 UTC (rev 31)
@@ -55,7 +55,7 @@
## set yuima model from SDE
setModel <- function(drift=NULL,
diffusion=NULL,
- hurst=as.numeric(NULL),
+hurst=0.5, # as.numeric(NULL),
jump.coeff=character(),
measure=list(),
measure.type=character(),
Modified: pkg/yuima/man/setModel.Rd
===================================================================
--- pkg/yuima/man/setModel.Rd 2009-11-24 18:32:20 UTC (rev 30)
+++ pkg/yuima/man/setModel.Rd 2009-11-24 22:20:15 UTC (rev 31)
@@ -16,7 +16,7 @@
}
\usage{
-setModel(drift=NULL, diffusion=NULL, jump.coeff=character(),
+setModel(drift=NULL, diffusion=NULL, hurst = 0.5, jump.coeff=character(),
measure=list(), measure.type=character(), state.variable="x",
jump.variable="z", time.variable="t", solve.variable, xinit)
}
@@ -24,6 +24,9 @@
\arguments{
\item{drift}{a vector of \code{expression}s (the default value is 0).}
\item{diffusion}{a matrix of \code{expression}s (the default value is 1).}
+ \item{hurst}{the hurst parameter of the gaussian noise. If \code{h=0.5}, the default,
+ the process is Wiener otherwise it is fractional Brownian motion with that precise value
+ of the hurst index.}
\item{jump.coeff}{a matrix of \code{expression}x.}
\item{measure}{Levy measure for jump variables.}
\item{measure.type}{Type specification for Levy measures.}
Modified: pkg/yuima/man/setSampling.Rd
===================================================================
--- pkg/yuima/man/setSampling.Rd 2009-11-24 18:32:20 UTC (rev 30)
+++ pkg/yuima/man/setSampling.Rd 2009-11-24 22:20:15 UTC (rev 31)
@@ -8,12 +8,15 @@
\code{setSampling} is a constructor for \code{sampling} class.
}
\usage{
- setSampling(Terminal,division)
+ setSampling(Terminal, division, Initial=0, grid=as.numeric(NULL), random=FALSE)
}
\arguments{
%%\item{x}{an object of class \code{yuima}, \code{yuima.model} or \code{yuima.data}}
\item{Terminal}{Terminal}
\item{division}{division}
+ \item{Initial}{Initial}
+ \item{grid}{a grid of times for the simulation, possibly empty}
+ \item{random}{specify if it is erandom sampling}
}
\details{
class \code{sampling} has two slots,
Modified: pkg/yuima/man/simulate.Rd
===================================================================
--- pkg/yuima/man/simulate.Rd 2009-11-24 18:32:20 UTC (rev 30)
+++ pkg/yuima/man/simulate.Rd 2009-11-24 22:20:15 UTC (rev 31)
@@ -3,7 +3,7 @@
\title{Simulator function for multi-dimensional stochastic processes}
\description{Simulate multi-dimensional stochastic processes.}
\usage{
-simulate(yuima, nsim, seed, xinit, true.parameter, space.discretized, increment.W, increment.L)
+simulate(object, nsim, seed, xinit, true.parameter, space.discretized, increment.W, increment.L)
}
\arguments{
\item{object}{an \code{yuima} object.}
Modified: pkg/yuima/man/yuima.sampling-class.Rd
===================================================================
--- pkg/yuima/man/yuima.sampling-class.Rd 2009-11-24 18:32:20 UTC (rev 30)
+++ pkg/yuima/man/yuima.sampling-class.Rd 2009-11-24 22:20:15 UTC (rev 31)
@@ -10,6 +10,9 @@
\describe{
\item{\code{Terminal}:}{Horizon of the stochastic processes.}
\item{\code{division}:}{Time division for the data and/or model.}
+ \item{\code{Initial}:}{Initial time of the data and/or model.}
+ \item{\code{grid}:}{a grid of time points on which data are simulated.}
+ \item{\code{random}:}{whether simulation consists of random times.}
}
}
\author{YUIMA Project}
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