-
Notifications
You must be signed in to change notification settings - Fork 4
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
- Loading branch information
1 parent
7809af5
commit 994534d
Showing
17 changed files
with
937 additions
and
41 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,62 @@ | ||
| ## information criteria | ||
|
|
||
| IC <- function(yuima, data, start, lower, upper, joint = FALSE, rcpp = FALSE,...){ | ||
| if(is(yuima,"yuima") == TRUE){ | ||
|
|
||
| if(is.matrix(data) == FALSE){ | ||
| sub.zoo.data <- list(zoo(x = data, order.by = yuima@sampling@grid[[1]])) | ||
| names(sub.zoo.data)[1] <- "Series 1" | ||
| }else{ | ||
| sub.zoo.data <- list() | ||
| for(i in 1:ncol(data)){ | ||
| sub.zoo.data <- c(sub.zoo.data, list(zoo(x = data[,i], order.by = yuima@sampling@grid[[1]]))) | ||
| names(sub.zoo.data)[i] <- paste("Series", i) | ||
| } | ||
| } | ||
| yuima@data@zoo.data <- sub.zoo.data | ||
| alpha <- yuima@model@parameter@drift | ||
| beta <- yuima@model@parameter@diffusion | ||
| Terminal <- yuima@sampling@Terminal | ||
| n <- yuima@sampling@n | ||
|
|
||
| para.num.init <- match(yuima@model@parameter@all, names(start)) | ||
| para.num.low <- match(yuima@model@parameter@all, names(lower)) | ||
| para.num.upp <- match(yuima@model@parameter@all, names(upper)) | ||
| para.start <- NULL | ||
| para.lower <- NULL | ||
| para.upper <- NULL | ||
| for(j in 1:length(yuima@model@parameter@all)){ | ||
| para.start <- c(para.start, list(start[[para.num.init[j]]])) | ||
| para.lower <- c(para.lower, list(lower[[para.num.low[j]]])) | ||
| para.upper <- c(para.upper, list(upper[[para.num.upp[j]]])) | ||
| } | ||
| names(para.start) <- yuima@model@parameter@all | ||
| names(para.lower) <- yuima@model@parameter@all | ||
| names(para.upper) <- yuima@model@parameter@all | ||
|
|
||
| mle <- qmle(yuima, start = para.start, lower = para.lower, upper = para.upper, method = "L-BFGS-B", joint = joint, rcpp = rcpp) | ||
| hess <- list(mle@details$hessian) | ||
| hess.diff <- subset(hess[[1]], rownames(hess[[1]])%in%beta, select=beta) | ||
| hess.drif <- subset(hess[[1]], rownames(hess[[1]])%in%alpha, select=alpha) | ||
|
|
||
| esti <- coef(mle) | ||
| names(esti) <- c(beta, alpha) | ||
| cic <- summary(mle)@m2logL+2*(length(alpha)+length(beta)) | ||
| bic <- summary(mle)@m2logL+length(alpha)*log(Terminal[1])+length(beta)*log(n[1]) | ||
| if(det(hess.diff) > 0 && det(hess.drif) > 0){ | ||
| qbic <- summary(mle)@m2logL+log(det(hess.diff))+log(det(hess.drif)) | ||
| }else{ | ||
| warning(cat("det(hessian of diffusion coefficient)<=0 or det(hessian of drift coefficient)<=0 \n")) | ||
| qbic <- summary(mle)@m2logL+length(alpha)*log(Terminal)+length(beta)*log(n) | ||
| } | ||
|
|
||
| final.res <- list(par = esti, BIC = bic, QBIC = qbic, CIC = cic) | ||
| return(final.res) | ||
| }else{ | ||
| yuima.stop("This function is for yuima-class.") | ||
| } | ||
| } | ||
|
|
||
|
|
||
|
|
||
|
|
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Oops, something went wrong.