version 1.1.3

DESCRIPTION

@@ -1,8 +1,8 @@
 Package: beyondWhittle
 Type: Package
 Title: Bayesian Spectral Inference for Stationary Time Series
-Version: 1.1.2
-Date: 2022-01-25
+Version: 1.1.3
+Date: 2022-04-03
 Authors@R: c(
     person("Alexander", "Meier", email="meier.alexander@posteo.de", role=c("aut", "cre")),
     person("Claudia", "Kirch", email="claudia.kirch@ovgu.de", role="aut"),
@@ -11,16 +11,16 @@ Authors@R: c(
 Maintainer: Alexander Meier <meier.alexander@posteo.de>
 Description: Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126> and A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470>. It was supported by DFG grant KI 1443/3-1.
 License: GPL (>= 3)
-Imports: ltsa (>= 1.4.6), Rcpp (>= 0.12.5), MASS, MTS, forecast
+Imports: ltsa (>= 1.4.6), Rcpp (>= 0.12.5), MASS, forecast
 LinkingTo: Rcpp, RcppArmadillo, BH
 RoxygenNote: 6.1.1
 NeedsCompilation: yes
-Packaged: 2022-01-25 13:43:37 UTC; alexandermeier
+Packaged: 2022-04-03 13:05:14 UTC; alexandermeier
 Author: Alexander Meier [aut, cre],
   Claudia Kirch [aut],
   Matthew C. Edwards [aut],
   Renate Meyer [aut]
 Repository: CRAN
-Date/Publication: 2022-01-25 16:32:51 UTC
+Date/Publication: 2022-04-04 11:00:02 UTC
 Suggests: testthat (>= 3.0.0)
 Config/testthat/edition: 3

MD5

@@ -1,4 +1,4 @@
-5e149a8285f402dbfeebb36ec209862d *DESCRIPTION
+77f04223305a3db671e1f3246d28cd23 *DESCRIPTION
 4367c6c56410d70835e641572f7f7178 *NAMESPACE
 9d7dc024418c915c080ac1481def2477 *R/RcppExports.R
 7008ac8998902ce9e6df733dba304119 *R/arma.R
@@ -20,7 +20,7 @@ a2b1be0525d69a5ce71624a21a353273 *R/nuisance_models.R
 ce45c4c9a9671675370f8f1bf5ce2285 *R/psd_S3.R
 48a9f68746ee7909b41c161d37c160a7 *R/scree_type.R
 820ec489157d97c50228c6b29f838276 *R/unit_trace.R
-8bbc1b9a8f5f236af70851d14482b3a1 *R/varma.R
+9af842ca3ffec09e6053ccc9dda10677 *R/varma.R
 c56752d4f29aa72d695e937082eeddd3 *man/Adj.Rd
 d09d32ee94741aa75fcac2f9d0a5c7e9 *man/VARMAcov_muted.Rd
 a9c9d190a6412288641d9d8ae6481f06 *man/VAR_regressor_matrix.Rd
@@ -132,7 +132,7 @@ baaefd0f768f381ea8ab44e8a14ec3e6 *src/RcppExports.cpp
 5eb4042c51d797813c807dbe849a6f10 *src/a_gamma_process_prior.h
 ae4e5afbfdf587dd190810bb710f478d *src/arma.cpp
 bd18897eca1244a9b41a86f9b686d8b9 *src/arma.h
-6da8364b561c0076ff71bdbf7705114d *src/bernstein_gamma_psd.cpp
+a1787e63c54cd11aa529698acdf292e4 *src/bernstein_gamma_psd.cpp
 b452551dc74633b233d0f450ce4e1330 *src/bernstein_gamma_psd.h
 9145eba40194c71297692c2e10cda167 *src/beyondWhittle_types.h
 b3ec39d3a79eedea0f5c625e3fe20efe *src/gibbs_np_help.cpp

R/varma.R

@@ -202,6 +202,67 @@ llike_var_full <- function(zt, ar, sigma) {
   return(cll + mll)
 }
 
+#' Psi-weight calculation for a VARMA model.
+#' NOTE: This is an exact copy of the MTS::PSIwgt function
+#' (only with the plot functionality removed, as not needed).
+#' This has to be done because the MTS package has been removed
+#' from CRAN in April 2022.
+#' @keywords internal
+PSIwgt <- function(Phi=NULL,Theta=NULL,lag=12,plot=TRUE,output=FALSE){
+  ### Compute the psi-weight matrices of a VARMA(p,q) model,
+  #### Phi=[phi1, phi2, ..., phip]
+  #### Theta=[theta1,theta2,...,thetaq]
+  #### Sigma= residual covariance matrix
+  q=0; p=0; k=0
+  if(length(Theta) > 0){
+    k=dim(Theta)[1]
+    k1=dim(Theta)[2]
+    q=floor(k1/k)
+  }
+  #
+  if(length(Phi) > 0){
+    k=dim(Phi)[1]
+    k1=dim(Phi)[2]
+    p=floor(k1/k)
+  }
+  #
+  if(k < 1) k=1
+  PSI=diag(k); WGT=c(PSI)
+  #
+  for (il in 1:lag){
+    ilk=il*k
+    tmp=matrix(0,k,k)
+    if((q > 0) && (il <= q))tmp=-Theta[,(ilk-k+1):ilk]
+    if(p > 0){
+      iend=min(il,p)
+      for (j in 1:iend){
+        jdx=(il-j)
+        kdx=j*k
+        tmp=tmp+Phi[,(kdx-k+1):kdx]%*%PSI[,(jdx*k+1):(jdx*k+k)]
+      }
+      ## end  of p > 0.
+    }
+    PSI=cbind(PSI,tmp)
+    WGT=cbind(WGT,c(tmp))
+    ### end of il-loop
+  }
+  ## print the output if needed
+  if(output){
+    for (i in 1:lag){
+      cat("Lag: ",i," psi-matrix","\n")
+      ist=i*k
+      print(round(PSI[,(ist+1):(ist+k)],5))
+    }
+    ## end print
+  }
+  ## plots the psi-weights
+  if(plot){
+    # Note: plotting functionality has been removed 
+    # for compatibility reasons.
+  }
+  PSIwgt <- list(psi.weight=PSI,irf=WGT)
+}
+
 #' This is a nearly exact copy of the MTS::VARMAcov function, where 
 #' the output commands at the end are removed.
 #' This has to be done because the function is called repeatedly
@@ -210,7 +271,7 @@ llike_var_full <- function(zt, ar, sigma) {
 #' @keywords internal
 VARMAcov_muted <- function (Phi = NULL, Theta = NULL, 
                             Sigma = NULL, lag = 12, trun = 120) { 
-  m1 = MTS::PSIwgt(Phi = Phi, Theta = Theta, lag = trun, plot = FALSE)
+  m1 = PSIwgt(Phi = Phi, Theta = Theta, lag = trun, plot = FALSE)
   Psi = m1$psi.weight
   nc = dim(Psi)[2]
   k = dim(Psi)[1]

src/bernstein_gamma_psd.cpp

@@ -84,7 +84,7 @@ void bernsteinGammaPsd::update_f() {
 // Which k-segment does x in [0,1] belong to?
 int bernsteinGammaPsd::get_j(double x) const {
   const int res = std::ceil((double)k * x)-1;
-  assert (res >= 0);
+  // assert (res >= 0);
   return res;
 }