2014-02-28 04:07:02 +00:00
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# Gradient of the GMM moment conditions on mean and variance
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#
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# Author: Francois Pelletier
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#
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# LGPL-3.0
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###############################################################################
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#' Gradient of the GMM moment conditions on mean and variance
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#'
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#' Derivative of the moment conditions according to the vector of parameters
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#' @param param GAL parameters
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2014-03-06 00:25:03 +00:00
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#' @param Data Data sample
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#' @param type Choose between "mu" or "kappa" parametrization
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2014-02-28 04:07:02 +00:00
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#' @return gradient matrix
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#'
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#' @author François Pelletier
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mean.variance.GMM.gradient <- function(param,Data,type="mu")
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{
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if(type=="mu")
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{
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matrix(c(-1,0,-param[4],-param[3],
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-2*(mean(Data)-param[1]-param[3]*param[4]),-2*param[2]*param[4],2*param[4]*(mean(Data)-param[1]-param[3]*param[4])+2*param[3]*param[4],-2*param[3]*(mean(Data)-param[1]-param[3]*param[4])-param[2]^2-param[3]^2),
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nrow=4,ncol=2)
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}
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}
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