Ajout de quelques fonctions

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(...))
+}