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))
+}