partage/GAL-Buckle95
1
0
Fork 0
Code Issues Pull requests Projects Releases Packages Wiki Activity

Ajout d'estimation gauss, étape 1

Browse source
This commit is contained in:
François Pelletier 2014-03-05 22:42:39 -05:00
parent d63ee4111d
commit 42b17db119
2 changed files with 105 additions and 23 deletions
Show stats Download patch file Download diff file Expand all files Collapse all files

51
GAL-Buckle95.Rnw
View file

@ -22,17 +22,17 @@
\section{Chargement des paquets}
<<>>=
setwd("~/git/GAL-Buckle95/")
library("actuar")
library("MASS")
library("xtable")
library("multicore")
library("moments")
library("TTR")
library("FourierStuff")
library("GeneralizedAsymmetricLaplace")
library("GMMStuff")
library("OptionPricingStuff")
library("QuadraticEstimatingEquations")
library(actuar)
library(MASS)
library(xtable)
library(multicore)
library(moments)
library(TTR)
library(FourierStuff)
library(GeneralizedAsymmetricLaplace)
library(GMMStuff)
library(OptionPricingStuff)
library(QuadraticEstimatingEquations)
@
\section{Constantes et données}
@ -48,5 +48,34 @@ alpha.test <- 0.05
RETURNS <- head(read.csv("abbeyn.csv",sep="\t",header=TRUE)[,1],-1)
@
\section{Test de normalité}
<<>>=
EppsPulley.test(RETURNS)
@
\section{Données mises à l'échelle}
<<>>=
scaledRETURNS <- as.vector(scale(RETURNS))
@
\section{Estimation}
<<>>=
## Point de départ
pt.depart <- startparamGAL(scaledRETURNS)
## Fonctions pour les moments
meanQEE <- function(param) mGAL(param,1)
varianceQEE <- function(param) cmGAL(param,2)
sdGEE <- function(param) sqrt(cmGAL(param,2))
skewnessGEE <- function(param) cmGAL(param,3)
kurtosisGEE <- function(param) cmGAL(param,4)
## Fonctions pour les dérivées
dmeanQEE <- function(param) dmGAL(param,1)
dsdGEE <- function(param) dmGAL(param,2)
## Estimation gaussienne
optim1 <- optim(pt.depart,obj.gauss,gr=NULL,scaledRETURNS,meanQEE,varianceQEE,dmeanQEE,dsdGEE)
@
\end{document}

77
GAL-Buckle95.tex
View file

@ -23,17 +23,17 @@
\begin{Schunk}
\begin{Sinput}
> setwd("~/git/GAL-Buckle95/")
> library("actuar")
> library("MASS")
> library("xtable")
> library("multicore")
> library("moments")
> library("TTR")
> library("FourierStuff")
> library("GeneralizedAsymmetricLaplace")
> library("GMMStuff")
> library("OptionPricingStuff")
> library("QuadraticEstimatingEquations")
> library(actuar)
> library(MASS)
> library(xtable)
> library(multicore)
> library(moments)
> library(TTR)
> library(FourierStuff)
> library(GeneralizedAsymmetricLaplace)
> library(GMMStuff)
> library(OptionPricingStuff)
> library(QuadraticEstimatingEquations)
\end{Sinput}
\end{Schunk}
@ -52,5 +52,58 @@
\end{Sinput}
\end{Schunk}
\section{Test de normalité}
\end{document}
\begin{Schunk}
\begin{Sinput}
> EppsPulley.test(RETURNS)
\end{Sinput}
\begin{Soutput}
Epps-Pulley Normality test
T: 0.626033
T*: 0.635568
p-value: 0.007178
$Tstat
[1] 0.626033
$Tmod
[1] 0.635568
$Zscore
[1] 2.44824
$Pvalue
[1] 0.00717788
$Reject
[1] TRUE
\end{Soutput}
\end{Schunk}
\section{Données mises à l'échelle}
\begin{Schunk}
\begin{Sinput}
> scaledRETURNS <- as.vector(scale(RETURNS))
\end{Sinput}
\end{Schunk}
\section{Estimation}
\begin{Schunk}
\begin{Sinput}
> ## Point de départ
> pt.depart <- startparamGAL(scaledRETURNS)
> ## Fonctions pour les moments
> meanQEE <- function(param) mGAL(param,1)
> varianceQEE <- function(param) cmGAL(param,2)
> sdGEE <- function(param) sqrt(cmGAL(param,2))
> skewnessGEE <- function(param) cmGAL(param,3)
> kurtosisGEE <- function(param) cmGAL(param,4)
> ## Fonctions pour les dérivées
> dmeanQEE <- function(param) dmGAL(param,1)
> dsdGEE <- function(param) dmGAL(param,2)
> ## Estimation gaussienne
> optim1 <- optim(pt.depart,obj.gauss,scaledRETURNS,meanQEE,varianceQEE,dmeanQEE,dsdGEE)