From 79246138f2b2da451c50b2c28f5fb9f7d08c4eb9 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Fran=C3=A7ois=20Pelletier?= Date: Sun, 2 Mar 2014 20:20:34 -0500 Subject: [PATCH] =?UTF-8?q?Ajout=20de=20la=20fonction=20de=20GMM=20it?= =?UTF-8?q?=C3=A9ratif?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- R/covariance.GMM.R | 9 +++++---- R/iterative.GMM.R | 39 +++++++++++++++++++++++++++++++++++++++ R/objective.GMM.R | 9 +++++---- R/optim.GMM.R | 9 +++++---- man/covariance.GMM.Rd | 6 ++++-- man/iterative.GMM.Rd | 34 ++++++++++++++++++++++++++++++++++ man/objective.GMM.Rd | 9 ++++++--- man/optim.GMM.Rd | 6 +++--- 8 files changed, 101 insertions(+), 20 deletions(-) create mode 100644 R/iterative.GMM.R create mode 100644 man/iterative.GMM.Rd diff --git a/R/covariance.GMM.R b/R/covariance.GMM.R index e13396a..ef15f03 100644 --- a/R/covariance.GMM.R +++ b/R/covariance.GMM.R @@ -7,12 +7,13 @@ #' Estimated covariance matrix #' @param conditions.vector Vector of moment conditions -#' @param n Sample size -#' @param ... Parameters of the vector of moment conditions +#' @param param Vector of estimated parameters +#' @param sample Individual data sample +#' @param ... Functions of the vector of moment conditions #' @return A square covariance matrix #' #' @author François Pelletier -covariance.GMM <- function(conditions.vector,n,...) +covariance.GMM <- function(conditions.vector,param,sample...) { - t(conditions.vector(...)) %*% conditions.vector(...) / n + t(conditions.vector(param,sample,...)) %*% conditions.vector(param,sample,...) / length(sample) } \ No newline at end of file diff --git a/R/iterative.GMM.R b/R/iterative.GMM.R new file mode 100644 index 0000000..f64961d --- /dev/null +++ b/R/iterative.GMM.R @@ -0,0 +1,39 @@ +# TODO: Add comment +# +# Author: francois +############################################################################### + + +#' @param start Starting values for the parameters and lagrangian +#' @param conditions.vector Vector of moment conditions +#' @param sample Individual data sample +#' @param ... Functions of the vector of moment conditions +#' @param W Weighting matrix +#' @param R Linear constraint matrix of coefficients +#' @param r Linear constraint constants +#' @param max.iter Maximum number of iterations +#' @param epsilon Minimum precision level +#' @return A list containing the optimized vector of parameter and corresponding covariance matrix +#' +#' @author François Pelletier +iterative.GMM <- function(start,conditions.vector,sample,..., + W,R,r,max.iter=50,epsilon=1E-6) +{ + theta1 <- optim.GMM(start,conditions.vector,sample,...,W,R,r) + i <- 1 + repeat + { + theta2 <- optim.GMM(theta1,conditions.vector,sample,...,W,R,r) + S <- covariance.GMM(conditions.vector,param,sample,...) + if(sqrt(sum((theta1-theta2)^2))max.iter) + stop("Iterative GMM does not converge") + else + { + theta1 <- theta2 + i <- i+1 + } + + } +} diff --git a/R/objective.GMM.R b/R/objective.GMM.R index 2813cd4..702a354 100644 --- a/R/objective.GMM.R +++ b/R/objective.GMM.R @@ -6,19 +6,20 @@ ############################################################################### #' Objective function for the GMM method -#' @param param Vector of parameters to optimize +#' @param param.lagrangian Vector of parameters and Lagrangian to optimize #' @param conditions.vector Vector of moment conditions -#' @param ... Parameters of the vector of moment conditions +#' @param sample Individual data sample +#' @param ... Functions 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 -objective.GMM <- function(param.lagrangian,conditions.vector,num.param,..., +objective.GMM <- function(param.lagrangian,conditions.vector,sample,..., W=diag(length(conditions.vector)),R=0,r=0) { 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) + colMeans(conditions.vector(param,sample,...)) %*% ginv(W) %*% colMeans(conditions.vector(param,sample,...))+ abs(t(R %*% param - r) %*% lagrangian) } \ No newline at end of file diff --git a/R/optim.GMM.R b/R/optim.GMM.R index cf7d859..8dea7ba 100644 --- a/R/optim.GMM.R +++ b/R/optim.GMM.R @@ -2,14 +2,15 @@ #' #' @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 sample Individual data sample +#' @param ... Functions 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.GMM <- function(start,conditions.vector,sample,...,W,R,r) { - optim(c(start,objective.GMM,conditions.vector,num.param,...,W,R,r)) + optim(start,objective.GMM,conditions.vector,sample,...,W,R,r) } \ No newline at end of file diff --git a/man/covariance.GMM.Rd b/man/covariance.GMM.Rd index 01a7637..3dd977e 100644 --- a/man/covariance.GMM.Rd +++ b/man/covariance.GMM.Rd @@ -2,12 +2,14 @@ \alias{covariance.GMM} \title{Estimated covariance matrix} \usage{ -covariance.GMM(conditions.vector, n, ...) +covariance.GMM(conditions.vector, param, sample...) } \arguments{ \item{conditions.vector}{Vector of moment conditions} - \item{n}{Sample size} + \item{param}{Vector of estimated parameters} + + \item{sample}{Individual data sample} \item{...}{Parameters of the vector of moment conditions} } diff --git a/man/iterative.GMM.Rd b/man/iterative.GMM.Rd new file mode 100644 index 0000000..1ac71a6 --- /dev/null +++ b/man/iterative.GMM.Rd @@ -0,0 +1,34 @@ +\name{iterative.GMM} +\alias{iterative.GMM} +\usage{ +iterative.GMM(start, conditions.vector, sample, ..., W, R, r, max.iter = 50, + epsilon = 1e-06) +} +\arguments{ + \item{start}{Starting values for the parameters and + lagrangian} + + \item{conditions.vector}{Vector of moment conditions} + + \item{sample}{Individual data sample} + + \item{...}{Functions of the vector of moment conditions} + + \item{W}{Weighting matrix} + + \item{R}{Linear constraint matrix of coefficients} + + \item{r}{Linear constraint constants} + + \item{max.iter}{Maximum number of iterations} + + \item{epsilon}{Minimum precision level} +} +\value{ +A list containing the optimized vector of parameter and +corresponding covariance matrix +} +\author{ +François Pelletier +} + diff --git a/man/objective.GMM.Rd b/man/objective.GMM.Rd index bdc88b6..1db2a3e 100644 --- a/man/objective.GMM.Rd +++ b/man/objective.GMM.Rd @@ -2,15 +2,18 @@ \alias{objective.GMM} \title{Objective function for the GMM method} \usage{ -objective.GMM(param.lagrangian, conditions.vector, num.param, ..., +objective.GMM(param.lagrangian, conditions.vector, sample, ..., W = diag(length(conditions.vector)), R = 0, r = 0) } \arguments{ - \item{param}{Vector of parameters to optimize} + \item{param.lagrangian}{Vector of parameters and + Lagrangian to optimize} \item{conditions.vector}{Vector of moment conditions} - \item{...}{Parameters of the vector of moment conditions} + \item{sample}{Individual data sample} + + \item{...}{Functions of the vector of moment conditions} \item{W}{Weighting matrix} diff --git a/man/optim.GMM.Rd b/man/optim.GMM.Rd index d63a94e..12fa2e6 100644 --- a/man/optim.GMM.Rd +++ b/man/optim.GMM.Rd @@ -2,7 +2,7 @@ \alias{optim.GMM} \title{Optimization with constraints for GMM methos} \usage{ -optim.GMM(start, conditions.vector, num.param, ..., W, R, r) +optim.GMM(start, conditions.vector, sample, ..., W, R, r) } \arguments{ \item{start}{Starting values for the parameters and @@ -10,9 +10,9 @@ optim.GMM(start, conditions.vector, num.param, ..., W, R, r) \item{conditions.vector}{Vector of moment conditions} - \item{number}{of parameters of the distribution} + \item{sample}{Individual data sample} - \item{...}{Parameters of the vector of moment conditions} + \item{...}{Functions of the vector of moment conditions} \item{W}{Weighting matrix}