[Yuima-commits] r174 - in pkg/yuima: R man

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

Author: iacus
Date: 2011-08-08 16:31:14 +0200 (Mon, 08 Aug 2011)
New Revision: 174

Modified:
   pkg/yuima/R/phi.test.R
   pkg/yuima/man/phi.test.Rd
Log:
update phi.test

Modified: pkg/yuima/R/phi.test.R
===================================================================
--- pkg/yuima/R/phi.test.R	2011-08-08 13:40:59 UTC (rev 173)
+++ pkg/yuima/R/phi.test.R	2011-08-08 14:31:14 UTC (rev 174)
@@ -1,6 +1,11 @@
 
-phi.test <- function(yuima, H0, H1, phi=log, print=FALSE,...){
+phi.test <- function(yuima, H0, H1, phi, print=FALSE,...){
     
+    phiname <- deparse(substitute(phi))
+    if(missing(phi)){
+        phi <- function(x) 1-x+x*log(x)
+        phiname <- "1-x+x*log(x)"
+    }
 	d.size <- yuima at model@equation.number
 	n <- length(yuima)[1]
 	
@@ -20,10 +25,11 @@
     }
 	g0 <- exp(quasiloglvec(yuima=yuima, param=H0, print=print, env))
 	g1 <- exp(quasiloglvec(yuima=yuima, param=H1, print=print, env))
-    div <- mean(phi(exp(g1-g0)), na.rm=TRUE)
-    stat <- 2*sum(phi(exp(g1-g0)), na.rm=TRUE)
+    y <- exp(g1-g0)
+    div <- mean(phi(y), na.rm=TRUE)
+    stat <- 2*sum(phi(y), na.rm=TRUE)
     df <- length(H0)
-    val <- list(div=div, stat=stat, H0=H0, H1=H1, phi=deparse(substitute(phi)), pvalue=1-pchisq(stat, df=df), df=df,est=est)
+    val <- list(div=div, stat=stat, H0=H0, H1=H1, phi=phiname, phi=phi, pvalue=1-pchisq(stat, df=df), df=df,est=est)
     attr(val, "class") <- "phitest"
     return( val )
 }
@@ -35,7 +41,7 @@
     symnum(x$pvalue, corr = FALSE, na = FALSE, 
     cutpoints = c(0, 0.001, 0.01, 0.05, 0.1, 1), 
     symbols = c("***", "**", "*", ".", " "))->Signif
-    cat(sprintf("Phi-Divergence test statistic based on phi function '%s'\n",x$phi) )
+    cat(sprintf("Phi-Divergence test statistic based on phi = '%s'\n",x$phi) )
     nm <- names(x$H0)
     cat("H0: ")
     cat(sprintf("%s = %s", nm, format(x$H0,digits=3,nsmall=3)))

Modified: pkg/yuima/man/phi.test.Rd
===================================================================
--- pkg/yuima/man/phi.test.Rd	2011-08-08 13:40:59 UTC (rev 173)
+++ pkg/yuima/man/phi.test.Rd	2011-08-08 14:31:14 UTC (rev 174)
@@ -3,13 +3,13 @@
 \title{Phi-divergence test statistic for stochastic differential equations}
 \description{Phi-divergence test statistic for stochastic differential equations.}
 \usage{
-phi.test(yuima, H0, H1, phi=log, print=FALSE,...)
+phi.test(yuima, H0, H1, phi, print=FALSE,...)
 }
 \arguments{
   \item{yuima}{a yuima object.}
   \item{H0}{a named list of parameter under H0.}
   \item{H1}{a named list of parameter under H1.}
-  \item{phi}{the phi function to be used in the test.}
+  \item{phi}{the phi function to be used in the test. See Details.}
   \item{print}{you can see a progress of the estimation when print is \code{TRUE}.}
   \item{...}{passed to \code{\link{qmle}} function.}
 }
@@ -18,6 +18,8 @@
   \code{phi.test} executes a Phi-divergence test. If \code{H1} is not specified
   this hypothesis is filled with the QMLE estimates.
   
+  If \code{phi} is missing, then \code{phi(x)=1-x+x*log(x)} and the
+  Phi-divergence statistic corresponds to the likelihood ratio test statistic.
 }
 \value{
   \item{ans}{an obkect of class \code{phitest}.}