[Yuima-commits] r334 - in pkg/yuima: . R man

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

Author: iacus
Date: 2014-09-29 13:40:51 +0200 (Mon, 29 Sep 2014)
New Revision: 334

Modified:
   pkg/yuima/DESCRIPTION
   pkg/yuima/R/qmle.R
   pkg/yuima/R/rng.R
   pkg/yuima/R/yuima.model.R
   pkg/yuima/man/setModel.Rd
Log:
fixed multivariate Levy, Carma, CP, and friends

Modified: pkg/yuima/DESCRIPTION
===================================================================
--- pkg/yuima/DESCRIPTION	2014-09-28 19:43:13 UTC (rev 333)
+++ pkg/yuima/DESCRIPTION	2014-09-29 11:40:51 UTC (rev 334)
@@ -1,7 +1,7 @@
 Package: yuima
 Type: Package
 Title: The YUIMA Project package for SDEs
-Version: 1.0.34
+Version: 1.0.35
 Date: 2014-09-29
 Depends: methods, zoo, stats4, utils, expm, cubature, mvtnorm
 Author: YUIMA Project Team

Modified: pkg/yuima/R/qmle.R
===================================================================
--- pkg/yuima/R/qmle.R	2014-09-28 19:43:13 UTC (rev 333)
+++ pkg/yuima/R/qmle.R	2014-09-29 11:40:51 UTC (rev 334)
@@ -521,7 +521,8 @@
      HaveDriftHess <- FALSE
 	 HaveDiffHess <- FALSE
 	 HaveMeasHess <- FALSE
-
+     
+     
     if(length(start)){
 		if(JointOptim){ ### joint optimization
             old.fixed <- fixed
@@ -630,6 +631,7 @@
 			
 			theta2 <- NULL
 			
+            
 			if(length(idx.drift)>0){
 ## DRIFT estimation with first state diffusion estimates
 			fixed <- old.fixed
@@ -684,7 +686,11 @@
                 }
 			  }  # END if(is.CARMA)
             
+            
+            
             oout1 <- do.call(optim, args=mydots)
+            
+            
 	#		  oout1 <- optim(mydots$par,f,method = "L-BFGS-B" , lower = mydots$lower, upper = mydots$upper)
 			} else {
 				mydots$f <- mydots$fn
@@ -756,7 +762,7 @@
 #names(par) <- unique(c(diff.par, drift.par))
 #     nm <- unique(c(diff.par, drift.par))
 
-# ESTIMATION OF CP part
+# START: ESTIMATION OF CP part
       theta3 <- NULL
        
        if(length(idx.measure)>0 & !is.CARMA(yuima)){
@@ -805,6 +811,7 @@
            start <- old.start
            fixed.par <- old.fixed.par
        }
+# END: ESTIMATION OF CP part
        
        
        
@@ -816,6 +823,8 @@
     }
  
      coef <- oout$par
+     
+     
        control=list()
        par <- coef
        if(!is.CARMA(yuima)){
@@ -912,6 +921,7 @@
     else matrix(numeric(0L), 0L, 0L)
 
 
+
     mycoef <- as.list(coef)
 
     if(!is.CARMA(yuima)){
@@ -946,12 +956,15 @@
     min <- min.diff + min.jump
     if(min==0)
      min <- NA
+     
+     
   dummycov<-matrix(0,length(coef),length(coef))
   rownames(dummycov)<-names(coef)
   colnames(dummycov)<-names(coef)
   dummycov[rownames(vcov),colnames(vcov)]<-vcov
   vcov<-dummycov
   
+  
 #     new("mle", call = call, coef = coef, fullcoef = unlist(mycoef), 
 #        vcov = vcov, min = min, details = oout, minuslogl = minusquasilogl, 
 #        method = method)
@@ -1060,6 +1073,7 @@
     }
 
 
+
 dummycovCarmaNoise<-vcov[unique(measure.par),unique(c(measure.par))] #we need to adjusted
     dummycoeffCarmapar<-coef[unique(c(drift.par,diff.par))]
     if(!is.null(loc.par)){

Modified: pkg/yuima/R/rng.R
===================================================================
--- pkg/yuima/R/rng.R	2014-09-28 19:43:13 UTC (rev 333)
+++ pkg/yuima/R/rng.R	2014-09-29 11:40:51 UTC (rev 334)
@@ -28,7 +28,10 @@
   if(length(mu)!=length(beta)){
     stop("Error: wrong input dimension.")
   }
-  if(missing(Lambda) | is.na(Lambda)){
+  if(missing(Lambda))
+   Lambda <- NA
+  
+  if(is.na(Lambda)){
     ## univariate case
     if(length(mu)!=1 || length(beta)!=1){
       stop("Error: wrong input dimension.")
@@ -179,8 +182,10 @@
   if(length(mu)!=length(beta)){
     stop("Error: wrong input dimension.")
   }
-  
-  if(missing(Lambda) | is.na(Lambda)){
+  if(missing(Lambda))
+   Lambda <- NA
+
+  if(is.na(Lambda)){
     ## univariate case
     gamma <- sqrt(alpha^2 - beta^2)
     if(gamma <0){

Modified: pkg/yuima/R/yuima.model.R
===================================================================
--- pkg/yuima/R/yuima.model.R	2014-09-28 19:43:13 UTC (rev 333)
+++ pkg/yuima/R/yuima.model.R	2014-09-29 11:40:51 UTC (rev 334)
@@ -121,7 +121,7 @@
 setModel <- function(drift=NULL,
                      diffusion=NULL,
                      hurst=0.5,
-                     jump.coeff=character(),
+                     jump.coeff=NULL,
                      measure=list(),
                      measure.type=character(),
                      state.variable="x",
@@ -488,7 +488,10 @@
   
   ##:: get parameters in jump expression
   J.flag <- FALSE
-  jump.par <- unique(all.vars(JUMP))
+  #  jump.par <- unique(all.vars(JUMP))
+  jump.par <- unlist(lapply(JUMP,all.vars))
+  if(is.null(jump.par))
+   jump.par <- character()
   if(length(na.omit(match(jump.par, jump.variable)))){
     J.flag <- TRUE
   }

Modified: pkg/yuima/man/setModel.Rd
===================================================================
--- pkg/yuima/man/setModel.Rd	2014-09-28 19:43:13 UTC (rev 333)
+++ pkg/yuima/man/setModel.Rd	2014-09-29 11:40:51 UTC (rev 334)
@@ -21,7 +21,7 @@
 }
 
 \usage{
-setModel(drift = NULL, diffusion = NULL, hurst = 0.5, jump.coeff = character(),
+setModel(drift = NULL, diffusion = NULL, hurst = 0.5, jump.coeff = NULL,
 measure = list(), measure.type = character(), state.variable = "x",
 jump.variable = "z", time.variable = "t", solve.variable, xinit)
 }