[Yuima-commits] r272 - in pkg/yuima: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Jan 29 22:34:20 CET 2014
Author: lorenzo
Date: 2014-01-29 22:34:18 +0100 (Wed, 29 Jan 2014)
New Revision: 272
Modified:
pkg/yuima/DESCRIPTION
pkg/yuima/NAMESPACE
pkg/yuima/R/qmle.R
pkg/yuima/man/qmle.Rd
Log:
Deleted dependence from GeneralizedHyperbolic package
Modified: pkg/yuima/DESCRIPTION
===================================================================
--- pkg/yuima/DESCRIPTION 2014-01-28 21:07:30 UTC (rev 271)
+++ pkg/yuima/DESCRIPTION 2014-01-29 21:34:18 UTC (rev 272)
@@ -1,9 +1,9 @@
Package: yuima
Type: Package
Title: The YUIMA Project package (unstable version)
-Version: 0.1.222
-Date: 2014-01-13
-Depends: methods, zoo, stats4, utils, Matrix, GeneralizedHyperbolic
+Version: 0.1.223
+Date: 2014-01-30
+Depends: methods, zoo, stats4, utils, Matrix
Suggests: cubature, mvtnorm
Author: YUIMA Project Team.
Maintainer: Stefano M. Iacus <stefano.iacus at R-project.org>
Modified: pkg/yuima/NAMESPACE
===================================================================
--- pkg/yuima/NAMESPACE 2014-01-28 21:07:30 UTC (rev 271)
+++ pkg/yuima/NAMESPACE 2014-01-29 21:34:18 UTC (rev 272)
@@ -6,7 +6,6 @@
importFrom("Matrix")
importFrom(stats, confint)
importFrom(stats4)
-importFrom("GeneralizedHyperbolic")
importFrom(utils, toLatex)
Modified: pkg/yuima/R/qmle.R
===================================================================
--- pkg/yuima/R/qmle.R 2014-01-28 21:07:30 UTC (rev 271)
+++ pkg/yuima/R/qmle.R 2014-01-29 21:34:18 UTC (rev 272)
@@ -745,46 +745,48 @@
# measure.par
# sapply(gregexpr("\\W+", measurefunc),length)
- name.func.dummy <- as.character(model at measure$df$expr[1])
- name.func<- substr(name.func.dummy,1,(nchar(name.func.dummy)-1))
- names.measpar<-rev(as.vector(strsplit(name.func,', '))[[1]][-1])
- valuemeasure<-as.numeric(names.measpar)
- NaIdx<-which(is.na(valuemeasure))
- if(length(NaIdx)!=0){
- yuima.warn("the constrained MLE for levy increment will be implemented as soon as possible")
- }
+ # Delete Dependence of GeneralizedHyperbolic package: 30/01
- inc.levy1<-diff(cumsum(inc.levy)[seq(from=1,
- to=yuima at sampling@n[1],
- by=(yuima at sampling@n/yuima at sampling@Terminal)[1]
- )])
- result.Levy<-nigFit(inc.levy1)
+# name.func.dummy <- as.character(model at measure$df$expr[1])
+# name.func<- substr(name.func.dummy,1,(nchar(name.func.dummy)-1))
+# names.measpar<-rev(as.vector(strsplit(name.func,', '))[[1]][-1])
+# valuemeasure<-as.numeric(names.measpar)
+# NaIdx<-which(is.na(valuemeasure))
+# if(length(NaIdx)!=0){
+# yuima.warn("the constrained MLE for levy increment will be implemented as soon as possible")
+# }
+#
+# inc.levy1<-diff(cumsum(inc.levy)[seq(from=1,
+# to=yuima at sampling@n[1],
+# by=(yuima at sampling@n/yuima at sampling@Terminal)[1]
+# )])
+# result.Levy<-nigFit(inc.levy1)
+#
+# Inc.Parm<-coef(result.Levy)
+# IncVCOV<--solve(nigHessian(inc.levy, param=Inc.Parm))
+#
+# names(Inc.Parm)[NaIdx]<-measure.par
+# #prova<-as.matrix(IncVCOV)
+# rownames(IncVCOV)[NaIdx]<-as.character(measure.par)
+# colnames(IncVCOV)[NaIdx]<-as.character(measure.par)
+#
+#
+# coef<-NULL
+# coef<-c(dummycoeffCarmapar,Inc.Parm)
+# # names.par<-c(unique(c(drift.par,diff.par)),names(Inc.Parm))
+# #
+# names.par<-names(coef)
+# cov<-NULL
+# cov<-matrix(0,length(names.par),length(names.par))
+# rownames(cov)<-names.par
+# colnames(cov)<-names.par
+# if(is.null(loc.par)){
+# cov[unique(c(drift.par,diff.par)),unique(c(drift.par,diff.par))]<-dummycovCarmapar
+# }else{
+# cov[unique(c(drift.par,diff.par,info at loc.par)),unique(c(drift.par,diff.par,info at loc.par))]<-dummycovCarmapar
+# }
+# cov[names(Inc.Parm),names(Inc.Parm)]<-IncVCOV
- Inc.Parm<-coef(result.Levy)
- IncVCOV<--solve(nigHessian(inc.levy, param=Inc.Parm))
-
- names(Inc.Parm)[NaIdx]<-measure.par
- #prova<-as.matrix(IncVCOV)
- rownames(IncVCOV)[NaIdx]<-as.character(measure.par)
- colnames(IncVCOV)[NaIdx]<-as.character(measure.par)
-
-
- coef<-NULL
- coef<-c(dummycoeffCarmapar,Inc.Parm)
- # names.par<-c(unique(c(drift.par,diff.par)),names(Inc.Parm))
- #
- names.par<-names(coef)
- cov<-NULL
- cov<-matrix(0,length(names.par),length(names.par))
- rownames(cov)<-names.par
- colnames(cov)<-names.par
- if(is.null(loc.par)){
- cov[unique(c(drift.par,diff.par)),unique(c(drift.par,diff.par))]<-dummycovCarmapar
- }else{
- cov[unique(c(drift.par,diff.par,info at loc.par)),unique(c(drift.par,diff.par,info at loc.par))]<-dummycovCarmapar
- }
- cov[names(Inc.Parm),names(Inc.Parm)]<-IncVCOV
-
}
if(measurefunc=="rgamma"){
# result.Levy<-gigFit(inc.levy)
@@ -839,11 +841,25 @@
quasilogl <- function(yuima, param, print=FALSE){
d.size <- yuima at model@equation.number
+ if (is(yuima at model, "yuima.carma")){
+ # 24/12
+ d.size <-1
+ }
+
n <- length(yuima)[1]
env <- new.env()
assign("X", as.matrix(yuima:::onezoo(yuima)), envir=env)
assign("deltaX", matrix(0, n-1, d.size), envir=env)
+
+ if (is(yuima at model, "yuima.carma")){
+ #24/12 If we consider a carma model,
+ # the observations are only the first column of env$X
+ env$X<-as.matrix(env$X[,1])
+ env$deltaX<-as.matrix(env$deltaX[,1])
+ }
+
+
for(t in 1:(n-1))
env$deltaX[t,] <- env$X[t+1,] - env$X[t,]
@@ -981,7 +997,8 @@
# We build the two step procedure as described in
# if(length(yuima at model@info at scale.par)!=0){
prova<-as.numeric(param)
- names(prova)<-fullcoef[oo]
+ #names(prova)<-fullcoef[oo]
+ names(prova)<-names(param)
param<-prova[c(length(prova):1)]
y<-as.numeric(env$X)
Modified: pkg/yuima/man/qmle.Rd
===================================================================
--- pkg/yuima/man/qmle.Rd 2014-01-28 21:07:30 UTC (rev 271)
+++ pkg/yuima/man/qmle.Rd 2014-01-29 21:34:18 UTC (rev 272)
@@ -281,7 +281,7 @@
# carma(p=2,q=1) driven by a normal inverse gaussian process
mod3<-setCarma(p=2,q=1,
- measure=list(df=list("rNIG(z, alpha, beta, delta, mu)")),
+ measure=list(df=list("rNIG(z, alpha, beta, delta1, mu)")),
measure.type="code")
#
@@ -292,7 +292,7 @@
b1=2,
alpha=1,
beta=0,
- delta=1,
+ delta1=1,
mu=0)
samp3<-setSampling(Terminal=100,n=200)
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