25 lines
805 B
R
25 lines
805 B
R
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# GMM vector for 4 first central moments conditions
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#
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# Author: Francois Pelletier
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#
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# LGPL-3.0
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###############################################################################
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#' GMM vector for 4 first central moments conditions
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#' @param param Estimated parameters
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#' @param sample Data Sample
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#' @param meanf Mean function
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#' @param variancef Variance function
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#' @param skewnessf Skewness function
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#' @param kurtosisf Kurtosis function
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#' @return A four column matrix of differences
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#'
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#' @author François Pelletier
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fourmoments.gmm.vector <- function(param,sample,meanf,variancef,skewnessf,kurtosisf)
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{
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cbind(X-meanf(param),
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(X-meanf(param))^2 - variancef(param),
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(X-meanf(param))^3/variancef(param)^(3/2) - skewnessf(param),
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(X-meanf(param))^4/variancef(param)^(2) - kurtosisf(param))
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}
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