Ajout de fonctions pour les quantités empiriques

R/emk.R

@@ -0,0 +1,20 @@
+# Empirical cumulants for individual data
+# 
+# Author: François Pelletier
+###############################################################################
+
+
+#' Empirical cumulants for individual data
+#' @param DATA a vector of individual data
+#' @param order order of the cumulant. Must be between 1 and 4.
+#' @return A vector of cumulants
+#' @author François Pelletier
+emk <- function(DATA,order=1:4)
+{
+	library(actuar)
+	m <- emm(DATA,1:4)
+	c(m[1],
+			m[2]-m[1]^2,
+			m[3]-3*m[1]*m[2]+2*m[1]^2,
+			m[4]-3*m[2]^2-4*m[1]*m[3]+12*m[1]^2*m[2]-6*m[1]^4)[order]
+}

R/empCF.R

@@ -0,0 +1,17 @@
+# Empirical Characteristic function
+# 
+# Author: François Pelletier
+###############################################################################
+
+
+#' Empirical Characteristic function
+#'
+#' Evaluate the empirical CF from a data sample
+#' @param t Vector of transform variates
+#' @param DATA Vector of individual data
+#' @return A vector of CF values
+#' @author François Pelletier
+empCF <- function(t,DATA)
+{
+	colMeans(outer(DATA,t,function(x,y) exp(1i*x*y)))
+}

R/empCGF.R

@@ -0,0 +1,17 @@
+# Empirical Cumulant Generating function
+# 
+# Author: François Pelletier
+###############################################################################
+
+
+#' Empirical Coment Generating function
+#'
+#' Evaluate the empirical CGF from a data sample
+#' @param t Vector of transform variates
+#' @param DATA Vector of individual data
+#' @return A vector of CGF values
+#' @author François Pelletier
+empCGF <- function(t,DATA)
+{
+	log(colMeans(outer(DATA,t,function(x,y) exp(x*y))))
+}

R/empMGF.R

@@ -0,0 +1,17 @@
+# Empirical Moment Generating function
+# 
+# Author: François Pelletier
+###############################################################################
+
+
+#' Empirical Moment Generating function
+#'
+#' Evaluate the empirical MGF from a data sample
+#' @param t Vector of transform variates
+#' @param DATA Vector of individual data
+#' @return A vector of MGF values
+#' @author François Pelletier
+empMGF <- function(t,DATA)
+{
+	colMeans(outer(DATA,t,function(x,y) exp(x*y)))
+}

man/emk.Rd

@@ -0,0 +1,22 @@
+\name{emk}
+\alias{emk}
+\title{Empirical cumulants for individual data}
+\usage{
+emk(DATA, order = 1:4)
+}
+\arguments{
+  \item{DATA}{a vector of individual data}
+
+  \item{order}{order of the cumulant. Must be between 1 and
+  4.}
+}
+\value{
+A vector of cumulants
+}
+\description{
+Empirical cumulants for individual data
+}
+\author{
+François Pelletier
+}
+

man/empCF.Rd

@@ -0,0 +1,21 @@
+\name{empCF}
+\alias{empCF}
+\title{Empirical Characteristic function}
+\usage{
+empCF(t, DATA)
+}
+\arguments{
+  \item{t}{Vector of transform variates}
+
+  \item{DATA}{Vector of individual data}
+}
+\value{
+A vector of CF values
+}
+\description{
+Evaluate the empirical CF from a data sample
+}
+\author{
+François Pelletier
+}
+

man/empCGF.Rd

@@ -0,0 +1,21 @@
+\name{empCGF}
+\alias{empCGF}
+\title{Empirical Coment Generating function}
+\usage{
+empCGF(t, DATA)
+}
+\arguments{
+  \item{t}{Vector of transform variates}
+
+  \item{DATA}{Vector of individual data}
+}
+\value{
+A vector of CGF values
+}
+\description{
+Evaluate the empirical CGF from a data sample
+}
+\author{
+François Pelletier
+}
+

man/empMGF.Rd

@@ -0,0 +1,21 @@
+\name{empMGF}
+\alias{empMGF}
+\title{Empirical Moment Generating function}
+\usage{
+empMGF(t, DATA)
+}
+\arguments{
+  \item{t}{Vector of transform variates}
+
+  \item{DATA}{Vector of individual data}
+}
+\value{
+A vector of MGF values
+}
+\description{
+Evaluate the empirical MGF from a data sample
+}
+\author{
+François Pelletier
+}
+