Ajout de quelques fonctions

.Rbuildignore

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+^.*\.Rproj$
+^\.Rproj\.user$
+.gitignore
+.project
+.git
+.settings

.gitignore

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 # Example code in package build process
 *-Ex.R
+.Rproj.user

.project

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+<?xml version="1.0" encoding="UTF-8"?>
+<projectDescription>
+	<name>GMMStuff</name>
+	<comment></comment>
+	<projects>
+	</projects>
+	<buildSpec>
+		<buildCommand>
+			<name>de.walware.statet.r.builders.RSupport</name>
+			<arguments>
+			</arguments>
+		</buildCommand>
+	</buildSpec>
+	<natures>
+		<nature>de.walware.statet.base.StatetNature</nature>
+		<nature>de.walware.statet.r.RNature</nature>
+		<nature>de.walware.statet.r.RPkgNature</nature>
+	</natures>
+</projectDescription>

.settings/de.walware.r.core.prefs

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+RProjectBuild/Package.name=GMMStuff
+eclipse.preferences.version=1

DESCRIPTION

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+Package: GMMStuff
+Title: GMM Stuff
+Version: 0.1
+Date: 2014-02-11
+Author: Francois Pelletier
+Maintainer: Francois Pelletier <francois@francoispelletier.org>
+Description: This is a package gathering different functions to work with
+    GMM
+License: LGPL-3

R/covariance.GMM.R

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+# Estimated covariance matrix
+# 
+# Author: Francois Pelletier
+#
+# LGPL-3.0
+###############################################################################
+
+#' Estimated covariance matrix
+#' @param conditions.vector Vector of moment conditions
+#' @param n Sample size
+#' @param ... Parameters of the vector of moment conditions
+#' @return A square covariance matrix
+#' 
+#' @author François Pelletier
+gmmGAL.mu.vcov <- function(conditions.vector,n,...)
+{
+	t(conditions.vector(...)) %*% conditions.vector(...) / n
+}

R/fourmoments.gmm.vector.R

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

R/mean.variance.gmm.vector.R

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+# GMM vector for mean and variance moment conditions
+# 
+# Author: Francois Pelletier
+#
+# LGPL-3.0
+###############################################################################
+
+
+#' GMM vector for mean and variance moment conditions
+#' @param param Estimated parameters
+#' @param sample Data Sample
+#' @param meanf Mean function
+#' @param variancef Variance function
+#' @return A two column matrix of differences
+#' 
+#' @author François Pelletier
+mean.variance.gmm.vector <- function(param,sample,meanf,variancef)
+{
+	cbind(X-meanf(param),(X-meanf(param))^2 - variancef(param))
+}

R/objective.GMM.R

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+# Objective function for the GMM method
+# 
+# Author: Francois Pelletier
+#
+# LGPL-3.0
+###############################################################################
+
+#' Objective function for the GMM method
+#' @param conditions.vector Vector of moment conditions
+#' @param ... Parameters of the vector of moment conditions
+#' @param W Weighting matrix
+#' @return A scalar value
+#' 
+#' @author François Pelletier
+obj.gmmGAL.mu <- function(conditions.vector,...,W=diag(length(conditions.vector)))
+{
+	colMeans(conditions.vector(...)) %*% ginv(W) %*% colMeans(conditions.vector(...))
+}

man/fourmoments.gmm.vector.Rd

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+\name{fourmoments.gmm.vector}
+\alias{fourmoments.gmm.vector}
+\title{GMM vector for 4 first central moments conditions}
+\usage{
+fourmoments.gmm.vector(param, sample, meanf, variancef, skewnessf, kurtosisf)
+}
+\arguments{
+  \item{param}{Estimated parameters}
+
+  \item{sample}{Data Sample}
+
+  \item{meanf}{Mean function}
+
+  \item{variancef}{Variance function}
+
+  \item{skewnessf}{Skewness function}
+
+  \item{kurtosisf}{Kurtosis function}
+}
+\value{
+A four column matrix of differences
+}
+\description{
+GMM vector for 4 first central moments conditions
+}
+\author{
+François Pelletier
+}
+

man/gmmGAL.mu.vcov.Rd

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+\name{gmmGAL.mu.vcov}
+\alias{gmmGAL.mu.vcov}
+\title{Estimated covariance matrix}
+\usage{
+gmmGAL.mu.vcov(conditions.vector, n, ...)
+}
+\arguments{
+  \item{conditions.vector}{Vector of moment conditions}
+
+  \item{n}{Sample size}
+
+  \item{...}{Parameters of the vector of moment conditions}
+}
+\value{
+A square covariance matrix
+}
+\description{
+Estimated covariance matrix
+}
+\author{
+François Pelletier
+}
+

man/mean.variance.gmm.vector.Rd

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+\name{mean.variance.gmm.vector}
+\alias{mean.variance.gmm.vector}
+\title{GMM vector for mean and variance moment conditions}
+\usage{
+\method{mean}{variance.gmm.vector}(param, sample, meanf, variancef)
+}
+\arguments{
+  \item{param}{Estimated parameters}
+
+  \item{sample}{Data Sample}
+
+  \item{meanf}{Mean function}
+
+  \item{variancef}{Variance function}
+}
+\value{
+A two column matrix of differences
+}
+\description{
+GMM vector for mean and variance moment conditions
+}
+\author{
+François Pelletier
+}
+

man/obj.gmmGAL.mu.Rd

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+\name{obj.gmmGAL.mu}
+\alias{obj.gmmGAL.mu}
+\title{Objective function for the GMM method}
+\usage{
+obj.gmmGAL.mu(conditions.vector, ..., W = diag(length(conditions.vector)))
+}
+\arguments{
+  \item{conditions.vector}{Vector of moment conditions}
+
+  \item{...}{Parameters of the vector of moment conditions}
+
+  \item{W}{Weighting matrix}
+}
+\value{
+A scalar value
+}
+\description{
+Objective function for the GMM method
+}
+\author{
+François Pelletier
+}
+