[Yuima-commits] r254 - pkg/yuima/man

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

Author: iacus
Date: 2013-10-11 15:43:42 +0200 (Fri, 11 Oct 2013)
New Revision: 254

Modified:
   pkg/yuima/man/mmfrac.Rd
Log:
up

Modified: pkg/yuima/man/mmfrac.Rd
===================================================================
--- pkg/yuima/man/mmfrac.Rd	2013-10-11 13:36:25 UTC (rev 253)
+++ pkg/yuima/man/mmfrac.Rd	2013-10-11 13:43:42 UTC (rev 254)
@@ -1,118 +1,34 @@
 \name{mmfrac}
 \alias{mmfrac}
-%- Also NEED an '\alias' for EACH other topic documented here.
 \title{
 mmfrac
 }
 \description{
-%%  ~~ A concise (1-5 lines) description of what the function does. ~~
+Estimates the drift of s fractional Ornstein-Uhlenbeck and, if necessary, also the Hurst and diffusion parameters.
 }
 \usage{
 mmfrac(yuima, ...)
 }
-%- maybe also 'usage' for other objects documented here.
 \arguments{
-  \item{yuima}{
-%%     ~~Describe \code{yuima} here~~
+  \item{yuima}{a \code{yuima} object.
 }
-  \item{\dots}{
-%%     ~~Describe \code{\dots} here~~
+  \item{\dots}{arguments passed to \code{\link{qgv}}.
 }
 }
 \details{
-%%  ~~ If necessary, more details than the description above ~~
+Estimates the drift of s fractional Ornstein-Uhlenbeck and, if necessary, also the Hurst and diffusion parameters.
 }
-\value{
-%%  ~Describe the value returned
-%%  If it is a LIST, use
-%%  \item{comp1 }{Description of 'comp1'}
-%%  \item{comp2 }{Description of 'comp2'}
-%% ...
+\value{an object of class mmfrac
 }
 \references{
-%% ~put references to the literature/web site here ~
+Brouste, A., Iacus, S.M. (2013) Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package, Computational Statistics, pp. 1129--1147.
 }
-\author{
-%%  ~~who you are~~
-}
-\note{
-%%  ~~further notes~~
-}
-
-%% ~Make other sections like Warning with \section{Warning }{....} ~
-
+\author{The YUIMA Project Team}
 \seealso{
-%% ~~objects to See Also as \code{\link{help}}, ~~~
+See also \code{\link{qgv}}.
 }
 \examples{
-##---- Should be DIRECTLY executable !! ----
-##-- ==>  Define data, use random,
-##--	or do  help(data=index)  for the standard data sets.
-
-## The function is currently defined as
-function (yuima, ...) 
-{
-    call <- match.call()
-    if (missing(yuima)) {
-        yuima.stop("yuima object is missing.")
-    }
-    if (class(yuima) != "yuima") {
-        yuima.stop("an object of class yuima is needed.")
-    }
-    Ddiffx0 <- D(yuima at model@diffusion[[1]], yuima at model@state.variable) == 
-        0
-    Ddifft0 <- D(yuima at model@diffusion[[1]], yuima at model@time.variable) == 
-        0
-    bconst <- FALSE
-    Hconst <- FALSE
-    diffnoparam <- length(yuima at model@parameter at diffusion) == 
-        0
-    if (Ddiffx0 & Ddifft0 & diffnoparam) {
-        if (eval(yuima at model@diffusion[[1]]) == 0) {
-            yuima.stop("the model has no fractional part.")
-        }
-    }
-    if (length(yuima at model@parameter at drift) != 1) {
-        yuima.stop("the drift is malformed.")
-    }
-    dx <- D(yuima at model@drift, yuima at model@state.variable)
-    dbx <- D(yuima at model@diffusion[[1]], yuima at model@state.variable) == 
-        0
-    dbt <- D(yuima at model@diffusion[[1]], yuima at model@time.variable) == 
-        0
-    bxx <- D(dx, yuima at model@state.variable) == 0
-    bmix <- D(dx, yuima at model@time.variable) == 0
-    isfOU <- (bxx || bmix) && (dbx && dbt)
-    if (!isfOU) {
-        yuima.stop("estimation not available for this model")
-    }
-    process <- yuima at data@zoo.data[[1]]
-    T <- yuima at sampling@Terminal
-    est <- qgv(yuima, ...)
-    H <- est$coeff[1]
-    sigma <- est$coeff[2]
-    if ((!is.na(H)) & (!is.na(sigma))) {
-        theta <- (2 * mean(process^2)/(sigma^2 * gamma(2 * H + 
-            1)))^(-1/2/H)
-        sH <- sqrt((4 * H - 1) * (1 + (gamma(1 - 4 * H) * gamma(4 * 
-            H - 1))/(gamma(2 - 2 * H) * gamma(2 * H))))
-        sdtheta <- sqrt(theta) * (sH/(2 * H))/sqrt(T)
-    }
-    else {
-        yuima.warn("Diffusion estimation not available, can not estimate the drift parameter")
-    }
-    x <- c(est$coeff, theta)
-    names(x) <- c(names(est$coeff), yuima at model@parameter at drift)
-    sdx <- matrix(, 3, 3)
-    diag(sdx) <- c(diag(est$vcov), sdtheta)
-    colnames(sdx) <- names(x)
-    rownames(sdx) <- names(x)
-    obj <- list(coefficients = x, vcov = sdx, call = call)
-    class(obj) <- "mmfrac"
-    return(obj)
-  }
+#Example
 }
-% Add one or more standard keywords, see file 'KEYWORDS' in the
 % R documentation directory.
-\keyword{ ~kwd1 }
-\keyword{ ~kwd2 }% __ONLY ONE__ keyword per line
+\keyword{ts}