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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,157 @@ | ||
| #eNileMin.R | ||
| #NileMin dataset | ||
| #Exact MLE. Best Model. | ||
| #> TotalTimes | ||
| # FD FGN PLA NONE | ||
| #14.82 40.44 38.93 30.85 | ||
| #> sum(TotalTimes) | ||
| #[1] 125.04 | ||
| # | ||
| require("FGN") | ||
| z <- NileMin | ||
| #z <- abs(diff(log(SeriesB))) | ||
| z <- z - mean(z) | ||
| n <- length(z) | ||
| P <- Q <- 3 | ||
|
|
||
| TotalTimes <- numeric(4) | ||
| names(TotalTimes) <- c("FD", "FGN", "PLA", "NONE") | ||
| #FD | ||
| numMod <- (P+1)*(Q+1) | ||
| outMod <- vector("list", numMod) | ||
| ii <- 0 | ||
| #takes about 42 seconds on unit | ||
| startTime <- proc.time() | ||
| for (p in 0:P) | ||
| for (q in 0:Q) { | ||
| ii <- ii+1 | ||
| k <- p+q+2 | ||
| order <- c(p,0,q) | ||
| ans <- earfima(z, order=order, lmodel="FD") | ||
| Le <- ans$LL | ||
| bice <- -2*Le+k*log(n) | ||
| out <- c(p,q,Le,bice) | ||
| names(out) <- c("p","q","Le","bice") | ||
| outMod[[ii]] <- out | ||
| } | ||
| endTime <- proc.time() | ||
| totalTime <- endTime-startTime | ||
| TotalTimes[1] <- totalTime[1] | ||
| m<-matrix(unlist(outMod),byrow=TRUE,ncol=4) | ||
| dimnames(m)[[2]]<- c("p","q","Le","bice") | ||
| ind1 <- which.min(m[,"bice"]) | ||
| mc<-rep(" ", 16) | ||
| mc[ind1]<-"*" | ||
| dimnames(m)[[1]]<-mc | ||
| mFD<-m | ||
| # | ||
|
|
||
| #FGN | ||
| numMod <- (P+1)*(Q+1) | ||
| outMod <- vector("list", numMod) | ||
| ii <- 0 | ||
| #takes about 42 seconds on unit | ||
| startTime <- proc.time() | ||
| for (p in 0:P) | ||
| for (q in 0:Q) { | ||
| ii <- ii+1 | ||
| k <- p+q+2 | ||
| order <- c(p,0,q) | ||
| ans <- earfima(z, order=order, lmodel="FGN") | ||
| Le <- ans$LL | ||
| bice <- -2*Le+k*log(n) | ||
| out <- c(p,q,Le,bice) | ||
| names(out) <- c("p","q","Le","bice") | ||
| outMod[[ii]] <- out | ||
| } | ||
| endTime <- proc.time() | ||
| totalTime <- endTime-startTime | ||
| TotalTimes[2] <- totalTime[1] | ||
| m<-matrix(unlist(outMod),byrow=TRUE,ncol=4) | ||
| dimnames(m)[[2]]<- c("p","q","Le","bice") | ||
| ind1 <- which.min(m[,"bice"]) | ||
| mc<-rep(" ", 16) | ||
| mc[ind1]<-"*" | ||
| dimnames(m)[[1]]<-mc | ||
| mFGN<-m | ||
| # | ||
| #PLA | ||
| numMod <- (P+1)*(Q+1) | ||
| outMod <- vector("list", numMod) | ||
| ii <- 0 | ||
| #takes about 42 seconds on unit | ||
| startTime <- proc.time() | ||
| for (p in 0:P) | ||
| for (q in 0:Q) { | ||
| ii <- ii+1 | ||
| k <- p+q+2 | ||
| order <- c(p,0,q) | ||
| ans <- earfima(z, order=order, lmodel="PLA") | ||
| Le <- ans$LL | ||
| bice <- -2*Le+k*log(n) | ||
| out <- c(p,q,Le,bice) | ||
| names(out) <- c("p","q","Le","bice") | ||
| outMod[[ii]] <- out | ||
| } | ||
| endTime <- proc.time() | ||
| totalTime <- endTime-startTime | ||
| TotalTimes[3] <- totalTime[1] | ||
| m<-matrix(unlist(outMod),byrow=TRUE,ncol=4) | ||
| dimnames(m)[[2]]<- c("p","q","Le","bice") | ||
| ind1 <- which.min(m[,"bice"]) | ||
| mc<-rep(" ", 16) | ||
| mc[ind1]<-"*" | ||
| dimnames(m)[[1]]<-mc | ||
| mPLA<-m | ||
| # | ||
| # | ||
| #NONE | ||
| numMod <- (P+1)*(Q+1) | ||
| outMod <- vector("list", numMod) | ||
| ii <- 0 | ||
| #takes about 42 seconds on unit | ||
| startTime <- proc.time() | ||
| for (p in 0:P) | ||
| for (q in 0:Q) { | ||
| ii <- ii+1 | ||
| k <- p+q+2 | ||
| order <- c(p,0,q) | ||
| ans <- earfima(z, order=order, lmodel="NONE") | ||
| Le <- ans$LL | ||
| bice <- -2*Le+k*log(n) | ||
| out <- c(p,q,Le,bice) | ||
| names(out) <- c("p","q","Le","bice") | ||
| outMod[[ii]] <- out | ||
| } | ||
| endTime <- proc.time() | ||
| totalTime <- endTime-startTime | ||
| TotalTimes[4] <- totalTime[1] | ||
| m<-matrix(unlist(outMod),byrow=TRUE,ncol=4) | ||
| dimnames(m)[[2]]<- c("p","q","Le","bice") | ||
| ind1 <- which.min(m[,"bice"]) | ||
| mc<-rep(" ", 16) | ||
| mc[ind1]<-"*" | ||
| dimnames(m)[[1]]<-mc | ||
| mNONE<-m | ||
| # | ||
| LLs <- c(mFD["*",3],mFGN["*",3],mPLA["*",3],mNONE["*",3]) | ||
| LLmax <- max(LLs) | ||
| RLs <- exp(LLs-LLmax) | ||
| names(RLs) <- c("FD","FGN","PLA","NONE") | ||
| # | ||
| bics <- c(mFD["*",4],mFGN["*",4],mPLA["*",4],mNONE["*",4]) | ||
| bicmin <- min(bics) | ||
| RELs <- exp(-0.5*(bics-bicmin)) | ||
| names(RELs) <- c("FD","FGN","PLA","NONE") | ||
| tb <- matrix(c(RLs,RELs)*100, byrow=TRUE, nrow=2) | ||
| dimnames(tb) <- list(c("RL","REL"), names(RELs)) | ||
| tb | ||
| tbNileMin <- tb | ||
| dump("tbNileMin", file="d:/R/CRAN/FGN/vig/tbNileMin.R") | ||
| # | ||
| TotalTimes | ||
| # | ||
| mFD | ||
| mFGN | ||
| mPLA | ||
| mNONE |
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