[Yuima-commits] r124 - in pkg/yuima: . R man

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

Author: hinohide
Date: 2010-08-12 09:25:00 +0200 (Thu, 12 Aug 2010)
New Revision: 124

Modified:
   pkg/yuima/DESCRIPTION
   pkg/yuima/NEWS
   pkg/yuima/R/cce.R
   pkg/yuima/man/cce.Rd
Log:
cce modified

Modified: pkg/yuima/DESCRIPTION
===================================================================
--- pkg/yuima/DESCRIPTION	2010-08-05 08:44:18 UTC (rev 123)
+++ pkg/yuima/DESCRIPTION	2010-08-12 07:25:00 UTC (rev 124)
@@ -1,8 +1,8 @@
 Package: yuima
 Type: Package
 Title: The YUIMA Project package (unstable version)
-Version: 0.1.13
-Date: 2010-08-05
+Version: 0.1.14
+Date: 2010-08-12
 Depends: methods, zoo, stats4, utils
 Suggests: cubature, mvtnorm
 Author: YUIMA Project Team.

Modified: pkg/yuima/NEWS
===================================================================
--- pkg/yuima/NEWS	2010-08-05 08:44:18 UTC (rev 123)
+++ pkg/yuima/NEWS	2010-08-12 07:25:00 UTC (rev 124)
@@ -1,3 +1,8 @@
+Changes in Version 0.1.14
+  o added a correlation matrix to the output of "cce". Accordingly,
+ the output of the function cce is now a list which contains a covariance
+ matrix and a correlation matrix.
+
 Changes in Version 0.1.13
 
   o fixed a bug in symmetrized cpoint estimator

Modified: pkg/yuima/R/cce.R
===================================================================
--- pkg/yuima/R/cce.R	2010-08-05 08:44:18 UTC (rev 123)
+++ pkg/yuima/R/cce.R	2010-08-12 07:25:00 UTC (rev 124)
@@ -79,5 +79,8 @@
 		}
 		
 	}
-	return( cmat )            
+
+    sdmat <- diag(sqrt(diag(cmat)))
+    cormat <- solve(sdmat) %*% cmat %*% solve(sdmat)
+	return( list(covmat=cmat,cormat=cormat)  )
 })

Modified: pkg/yuima/man/cce.Rd
===================================================================
--- pkg/yuima/man/cce.Rd	2010-08-05 08:44:18 UTC (rev 123)
+++ pkg/yuima/man/cce.Rd	2010-08-12 07:25:00 UTC (rev 124)
@@ -53,7 +53,7 @@
 psample<- poisson.random.sampling(yuima, rate = c(0.2,0.3), n = 1000) 
 
 ## cce takes the psample and returns an estimate of the quadratic covariation. 
-cce(psample)[1, 2] 
+cce(psample)$covmat[1, 2] 
 
 ## True value of the quadratic covariation.
 cc.theta <- function(T, sigma1, sigma2, rho) {