Ajout de fonctions d'optimisation et covariance

R/covariance.GMM.R

@@ -12,7 +12,7 @@
 #' @return A square covariance matrix
 #' 
 #' @author François Pelletier
-gmmGAL.mu.vcov <- function(conditions.vector,n,...)
+covariance.GMM <- function(conditions.vector,n,...)
 {
 	t(conditions.vector(...)) %*% conditions.vector(...) / n
 }

R/delta.method.covariance.GMM.R

@@ -0,0 +1,19 @@
+# Covariance matrix of the parameters using delta method
+# 
+# Author: Francois Pelletier
+#
+# LGPL-3.0
+###############################################################################
+
+
+#' Covariance matrix of the parameters using delta method
+#' @param covariance Covariance matrix of the moment conditions
+#' @param gradient Gradient matrix of the moment conditions
+#' @param size Sample size
+#' @return The covariance matrix of the parameters
+#'
+#' @author François Pelletier
+delta.method.covariance.GMM <- function(covariance,gradient,size)
+{
+	ginv(gradient %*% ginv(covariance) %*% t(gradient))/size
+}

R/objective.GMM.R

@@ -6,13 +6,19 @@
 ###############################################################################
 
 #' Objective function for the GMM method
+#' @param param Vector of parameters to optimize
 #' @param conditions.vector Vector of moment conditions
 #' @param ... Parameters of the vector of moment conditions
 #' @param W Weighting matrix
+#' @param R Linear constraint matrix of coefficients
+#' @param r Linear constraint constants
 #' @return A scalar value
 #' 
 #' @author François Pelletier
-obj.gmmGAL.mu <- function(conditions.vector,...,W=diag(length(conditions.vector)))
+objective.GMM <- function(param.lagrangian,conditions.vector,num.param,...,
+		W=diag(length(conditions.vector)),R=0,r=0)
 {
-	colMeans(conditions.vector(...)) %*% ginv(W) %*% colMeans(conditions.vector(...))
+	param <- param.lagrangian[1:num.param]
+	lagrangian <- param.lagrangian[num.param+1:length(param.lagrangian)]
+	colMeans(conditions.vector(param,...)) %*% ginv(W) %*% colMeans(conditions.vector(param,...))+ abs(t(R %*% param - r) %*% lagrangian)
 }

R/optim.GMM.R

@@ -0,0 +1,15 @@
+#' Optimization with constraints for GMM methos
+#'
+#' @param start Starting values for the parameters and lagrangian
+#' @param conditions.vector Vector of moment conditions
+#' @param number of parameters of the distribution
+#' @param ... Parameters of the vector of moment conditions
+#' @param W Weighting matrix
+#' @param R Linear constraint matrix of coefficients
+#' @param r Linear constraint constants
+#' @return une liste contenant le résultat de l'optimisation
+#' @author François Pelletier
+optim.GMM <- function(start,conditions.vector,num.param,...,W,R,r)
+{
+	optim(c(start,objective.GMM,conditions.vector,num.param,...,W,R,r))
+}

man/covariance.GMM.Rd

@@ -1,8 +1,8 @@
-\name{gmmGAL.mu.vcov}
-\alias{gmmGAL.mu.vcov}
+\name{covariance.GMM}
+\alias{covariance.GMM}
 \title{Estimated covariance matrix}
 \usage{
-gmmGAL.mu.vcov(conditions.vector, n, ...)
+covariance.GMM(conditions.vector, n, ...)
 }
 \arguments{
   \item{conditions.vector}{Vector of moment conditions}

man/delta.method.covariance.GMM.Rd

@@ -0,0 +1,24 @@
+\name{delta.method.covariance.GMM}
+\alias{delta.method.covariance.GMM}
+\title{Covariance matrix of the parameters using delta method}
+\usage{
+delta.method.covariance.GMM(covariance, gradient, size)
+}
+\arguments{
+  \item{covariance}{Covariance matrix of the moment
+  conditions}
+
+  \item{gradient}{Gradient matrix of the moment conditions}
+
+  \item{size}{Sample size}
+}
+\value{
+The covariance matrix of the parameters
+}
+\description{
+Covariance matrix of the parameters using delta method
+}
+\author{
+François Pelletier
+}
+

man/objective.GMM.Rd

@@ -1,15 +1,22 @@
-\name{obj.gmmGAL.mu}
-\alias{obj.gmmGAL.mu}
+\name{objective.GMM}
+\alias{objective.GMM}
 \title{Objective function for the GMM method}
 \usage{
-obj.gmmGAL.mu(conditions.vector, ..., W = diag(length(conditions.vector)))
+objective.GMM(param.lagrangian, conditions.vector, num.param, ...,
+  W = diag(length(conditions.vector)), R = 0, r = 0)
 }
 \arguments{
+  \item{param}{Vector of parameters to optimize}
+
   \item{conditions.vector}{Vector of moment conditions}
 
   \item{...}{Parameters of the vector of moment conditions}
 
   \item{W}{Weighting matrix}
+
+  \item{R}{Linear constraint matrix of coefficients}
+
+  \item{r}{Linear constraint constants}
 }
 \value{
 A scalar value

man/optim.GMM.Rd

@@ -0,0 +1,32 @@
+\name{optim.GMM}
+\alias{optim.GMM}
+\title{Optimization with constraints for GMM methos}
+\usage{
+optim.GMM(start, conditions.vector, num.param, ..., W, R, r)
+}
+\arguments{
+  \item{start}{Starting values for the parameters and
+  lagrangian}
+
+  \item{conditions.vector}{Vector of moment conditions}
+
+  \item{number}{of parameters of the distribution}
+
+  \item{...}{Parameters of the vector of moment conditions}
+
+  \item{W}{Weighting matrix}
+
+  \item{R}{Linear constraint matrix of coefficients}
+
+  \item{r}{Linear constraint constants}
+}
+\value{
+une liste contenant le résultat de l'optimisation
+}
+\description{
+Optimization with constraints for GMM methos
+}
+\author{
+François Pelletier
+}
+