diff --git a/DESCRIPTION b/DESCRIPTION index f998b50..cd6f185 100644 --- a/DESCRIPTION +++ b/DESCRIPTION @@ -1,21 +1,20 @@ Package: FGN -Version: 2.0-11 -Date: 2013-04-11 -Title: Fractional Gaussian Noise and hyperbolic decay time series model +Version: 2.0-12 +Date: 2014-05-15 +Title: Fractional Gaussian Noise and power law decay time series model fitting Author: A.I. McLeod and Justin Veenstra Maintainer: A.I. McLeod -Depends: R (>= 2.1.0), ltsa, akima -Description: Exact MLE and Whittle MLE estimation for various - hyperbolic decay time series models. +Depends: R (>= 2.1.0) +Imports: akima, ltsa +Description: Exact MLE and Whittle MLE estimation for power law decay models. Classification/ACM: G.3, G.4, I.5.1 Classification/MSC: 62M10, 91B84 -Imports: ltsa LazyLoad: yes LazyData: yes License: CC BY-NC-SA 3.0 URL: http://www.stats.uwo.ca/faculty/aim -Packaged: 2013-04-13 03:16:21 UTC; Aim +Packaged: 2014-05-15 23:01:25 UTC; Aim NeedsCompilation: yes Repository: CRAN -Date/Publication: 2013-04-13 06:54:26 +Date/Publication: 2014-05-16 07:33:31 diff --git a/MD5 b/MD5 index 37865da..685c507 100644 --- a/MD5 +++ b/MD5 @@ -1,6 +1,6 @@ -cb28d1eb38c894db9cbd77f2cdf19066 *DESCRIPTION -e3c595c2cf411596b4abfdce4bfcd789 *NAMESPACE -bbdf261659630d1896b67be196486ea5 *NEWS +ce38c7cd37f55af73920cdccf04681f0 *DESCRIPTION +6a8a4607027bd84cbcea6a0d595173ea *NAMESPACE +862e90b040f3dcc4682e33000feeb281 *NEWS b834c996deb14ac0ba270e839cdd415f *R/ARToPacf.R cfb49e32b1bbe8aaf7d5c8a33cf46d6b *R/Boot.FitFGN.R e870fb2bd451cd03745e026240c577f2 *R/Boot.R @@ -60,7 +60,7 @@ edf2ad5de4ea660c8d1b29ddecea419b *inst/doc/v23i05_table12.R 13b2384fdf9804d4dca40935bc63fa5c *inst/doc/v23i05_table15b.R 1c5073d9dd8bd443197ede3c5992054e *man/Boot.FitFGN.Rd a7e4c5cc4ef2b7bc69dceaa1f58fd093 *man/Boot.Rd -69e88a25ed0bda5d7eee9eb01830cbdb *man/FGN-package.Rd +762b1517e93bff6af4559b9b8ed0b83b *man/FGN-package.Rd c8243c44bd59fe7fba70f5ee744b44a2 *man/FitFGN.Rd 65911d58148bbd61c8fa880550cae4e7 *man/FitRegressionFGN.Rd 7af77ce4d328fbec6bcd37f5050b56b4 *man/GetFitFD.Rd @@ -78,7 +78,6 @@ a7c72172395a8bd84c79249d8a06716d *man/LLPLS.Rd fc4bdba6e71a77174263d5a7ffd84479 *man/SeriesB.Rd 453866911e9ba763331d9ac6039f789d *man/SimulateFD.Rd 22a83d1503940bbe3495642531d808bb *man/SimulateFGN.Rd -e3278c2d3c708788dbebf3797fec010a *man/WLoglikelihood.Rd 7e680dbfc2c844bdb0215bf835edeb30 *man/acvfFD.Rd 2f1de394855b3a0c5197096340b063f7 *man/acvfFGN.Rd 4d8cb860dcaaf47d73f6a8251a10f927 *man/acvfPLA.Rd @@ -95,8 +94,8 @@ e687cc9c8e11a577839eebb76c49efd0 *man/predict.FitFGN.Rd ccc078af00486b96516cb780b272fe97 *man/sdfPLA.Rd 0dfe505b306b1e1cbd3ec2e94189a72c *man/sdfPLS.Rd a191b29ed46da52184fe8834c468b148 *man/sdfarma.Rd -de3398fa8395c7024850c4975d5cf6cd *man/sdfhd.Rd +2e5fe260270ee7a54384727b23d1d846 *man/sdfhd.Rd 880cbcefc7461be5ccedbeb931ad1b29 *man/summary.FitFGN.Rd b1c51f3faa74346daf29cfe89f7d7cee *man/warfima.Rd d9cf118d94dfc5a2d09eeb47b1b7320b *src/Makevars -0e0aca6610678156d51c2c44163b498c *src/tacf.c +4e1a53545f0efa7a399bc94331dc6e2c *src/tacf.c diff --git a/NAMESPACE b/NAMESPACE index f3e6ae0..4902f90 100644 --- a/NAMESPACE +++ b/NAMESPACE @@ -1,14 +1,15 @@ useDynLib(FGN, shift_C, tacvfARMA_C, tacvfFDWN_C, tacfHD_C, tacfFGN_C) import("ltsa") +import("akima") export( "acvfFGN", "acvfFD", "acvfPLA", "acvfPLS", "sdfFGN", "sdfFD", "sdfPLA", "sdfPLS", "LLFGN", "LLFD", "LLPLA", "LLPLS", "GetFitFGN", "GetFitPLA", "GetFitFD", "GetFitPLS", -"sdfarma", "sdfhd", "warfima", "WLoglikelihood", -"earfima", +"sdfarma", "sdfhd", "warfima", +"earfima", "FitFGN", "Reimann", "Boot.FitFGN", diff --git a/NEWS b/NEWS index 9ba96d7..78ed79b 100644 --- a/NEWS +++ b/NEWS @@ -1,3 +1,11 @@ +CHANGES IN 'FGN' VERSION 2.0-12 (2014-03-04) + o fixed problem detected by valgrind, line 47 in tacvf.c + o imports ltsa, akima + o fixed long lines in Rd files + CHANGES IN 'FGN' VERSION 2-13 (2013-04-17) + o code improvements to earfima and warfima + o tacvfhd included + o vignettes for diagnostic checking FGN and PLA CHANGES IN 'FGN' VERSION 2.0-5 (2013-04-02) o improved compatibility with FitAR and arfima CHANGES IN 'FGN' VERSION 2.0-3 (2013-03-11) diff --git a/man/FGN-package.Rd b/man/FGN-package.Rd index 7c9723a..6055335 100644 --- a/man/FGN-package.Rd +++ b/man/FGN-package.Rd @@ -15,8 +15,8 @@ Simulation and regression supported for FGN. \tabular{ll}{ Package: \tab FGN\cr Type: \tab Package\cr - Version: \tab 2.0-11\cr - Date: \tab 2013-04-11\cr + Version: \tab 2.0-12\cr + Date: \tab 2014-05-15\cr License: \tab CC BY-NC-SA 3.0\cr LazyLoad: \tab yes\cr LazyData: \tab yes\cr diff --git a/man/WLoglikelihood.Rd b/man/WLoglikelihood.Rd deleted file mode 100644 index 20007f4..0000000 --- a/man/WLoglikelihood.Rd +++ /dev/null @@ -1,44 +0,0 @@ -\name{WLoglikelihood} -\alias{WLoglikelihood} - -\title{Whittle log-likelihood} - -\description{The Whittle and exact log-likelihoods are evaluated} - -\usage{ -WLoglikelihood(z, beta, p, q, lmodel) -} - -\arguments{ - \item{z}{time series} - \item{beta}{vector of parameters - see details} - \item{p}{AR order} - \item{q}{MA order} - \item{lmodel}{Type of long-memory component: FD, FGN, PLA, PLS, NONE} -} - -\details{ -If the model has a long-memory component then beta[1] is alpha, where alpha is the canonical parameter. -For FD models, d=0.5 - alpha/2. For FGN, H=1-alpha/2. -If there is no long-memory component, beta[1] starts with the first ARMA parameter, where the -ARMA parameters correspond to the autoregressive coefficients followed by the moving-average -coefficients. -} - -\value{ -vector of length two with entries corresponding to the value of the log-likelihood -for Whittle and exact methods. -} - -\author{ -A. I. McLeod -} - - -\examples{ -z <- globtp-mean(globtp) -WLoglikelihood(z, c(0.2, 0.9, 0.2), p=1, q=1, lmodel="FGN") -} - -\keyword{ ts } - diff --git a/man/sdfhd.Rd b/man/sdfhd.Rd index 1e588e8..dceed48 100644 --- a/man/sdfhd.Rd +++ b/man/sdfhd.Rd @@ -4,10 +4,12 @@ \description{ The spectral density function is evaluated at the Fourier frequencies, -2*pi*seq(from=1/n, to=1/2, by=1/n) for various types of hyperbolic decay time series models. +2*pi*seq(from=1/n, to=1/2, by=1/n) for various types of hyperbolic decay +time series models. } \usage{ -sdfhd(n, alpha = 1, phi = numeric(0), theta = numeric(0), lmodel = c("FD", "FGN", "PLA", "NONE")) +sdfhd(n, alpha = 1, phi = numeric(0), theta = numeric(0), + lmodel = c("FD", "FGN", "PLA", "NONE")) } %- maybe also 'usage' for other objects documented here. \arguments{ diff --git a/src/tacf.c b/src/tacf.c index f1701e6..d278935 100644 --- a/src/tacf.c +++ b/src/tacf.c @@ -44,7 +44,7 @@ void tacfFGN_C(double *H, int *maxlag, double *x) { int i; int ml = (int)(*maxlag); double h2 = (double)(*H)*2; - double temp[ml+1]; + double temp[ml+2]; x[0] = 1; if(ml > 1) { temp[0] = 0;