[Yuima-commits] r196 - pkg/yuima/R

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

Author: abrouste
Date: 2011-12-14 15:57:29 +0100 (Wed, 14 Dec 2011)
New Revision: 196

Added:
   pkg/yuima/R/qgv.R
Modified:
   pkg/yuima/R/simulate.R
Log:
add qgv test

Added: pkg/yuima/R/qgv.R
===================================================================
--- pkg/yuima/R/qgv.R	                        (rev 0)
+++ pkg/yuima/R/qgv.R	2011-12-14 14:57:29 UTC (rev 196)
@@ -0,0 +1,69 @@
+#Estimating local Hölder exponent with the constant.
+
+
+qgv<- function(yuima, filter.type="Daubechies", order=2, with.constant.est=TRUE, a=NULL, ...){
+
+	call <- match.call()
+	
+	if(missing(yuima)){
+		yuima.stop("yuima object is missing.")
+	}
+
+#Test for order to be integer
+	
+	if (missing(a)){
+
+	if (filter.type=="Daubechies"){
+		if (order==2){
+			
+		a<-1/sqrt(2)*c(.4829629131445341,
+						  -.8365163037378077,
+						   .2241438680420134,
+						   .1294095225512603)
+		}else{
+			yuima.warn("There is no such order Daubechies' filter implemented, order have been fixed to 2.")	
+				
+		a<-1/sqrt(2)*c(.4829629131445341,
+						  -.8365163037378077,
+						   .2241438680420134,
+						   .1294095225512603)
+		
+		
+		} 
+	}else if (filter.type=="Classical"){
+		mesh<-0:order
+		a=(-1)^(1-mesh)/2^order*choose(order,mesh)
+	}
+	}
+	
+
+	L<-length(a)
+	a2<-rep(0,2*L)
+	a2[seq(1,2*L,by=2)]<-a
+	
+	process<-yuima at data@zoo.data[[1]]
+	N<-length(process)
+	
+	
+	#Computation of the generalized quadratic variations
+	
+    V1<-sum(filter(process,a)^2,na.rm=TRUE)
+	V2<-sum(filter(process,a2)^2,na.rm=TRUE)
+	
+	H<-1/2*log2(V2/V1)
+	
+	if (H>1){H<-0.999} #Over-estimation of H
+	if (H<0){H<-0.001} 
+	
+	
+	#Compute the estimation of the constant C.
+	
+	delta<-yuima at sampling@delta
+	
+    constfilt<-sum(a%*%t(a)*abs(matrix(0:(L-1),L,L)-matrix(0:(L-1),L,L,byrow=TRUE))^(2*H))
+	
+	C<- sqrt(-2*V1/(N-L)/(constfilt*delta^(2*H)))
+
+	return(list(C=C,H=H))		 
+}
+

Modified: pkg/yuima/R/simulate.R
===================================================================
--- pkg/yuima/R/simulate.R	2011-11-11 19:48:23 UTC (rev 195)
+++ pkg/yuima/R/simulate.R	2011-12-14 14:57:29 UTC (rev 196)
@@ -1,6 +1,6 @@
 ## We have splitted the simulate function into blocks to allow for future 
 ## methods to be added. S.M.I. & A.B.
-## Interface to simulate() changed to match the S3 generic funciton in the 
+## Interface to simulate() changed to match the S3 generic function in the 
 ## package stats
 ## added an environment to let R find the proper values defined in the main
 ## body of the function, which in turn calls different simulation methods