From ae40f584277f2939a22c0796e269bae01c429f2e Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fran=C3=A7ois=20Pelletier?= <franc00018@gmail.com>
Date: Thu, 27 Feb 2014 23:07:02 -0500
Subject: [PATCH] gradient moyenne variance GMM

---
 R/mean.variance.GMM.gradient.R    | 25 +++++++++++++++++++++++++
 man/mean.variance.GMM.gradient.Rd | 20 ++++++++++++++++++++
 2 files changed, 45 insertions(+)
 create mode 100644 R/mean.variance.GMM.gradient.R
 create mode 100644 man/mean.variance.GMM.gradient.Rd

diff --git a/R/mean.variance.GMM.gradient.R b/R/mean.variance.GMM.gradient.R
new file mode 100644
index 0000000..5d83fef
--- /dev/null
+++ b/R/mean.variance.GMM.gradient.R
@@ -0,0 +1,25 @@
+# Gradient of the GMM moment conditions on mean and variance
+# 
+# Author: Francois Pelletier
+#
+# LGPL-3.0
+###############################################################################
+
+
+#' Gradient of the GMM moment conditions on mean and variance
+#'
+#' Derivative of the moment conditions according to the vector of parameters
+#' @param param GAL parameters
+#' @return gradient matrix
+#'
+#' @author François Pelletier
+mean.variance.GMM.gradient <- function(param,Data,type="mu")
+{
+	if(type=="mu")
+	{
+		matrix(c(-1,0,-param[4],-param[3],
+						-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),
+				nrow=4,ncol=2)
+	}
+}
+
diff --git a/man/mean.variance.GMM.gradient.Rd b/man/mean.variance.GMM.gradient.Rd
new file mode 100644
index 0000000..84ba393
--- /dev/null
+++ b/man/mean.variance.GMM.gradient.Rd
@@ -0,0 +1,20 @@
+\name{mean.variance.GMM.gradient}
+\alias{mean.variance.GMM.gradient}
+\title{Gradient of the GMM moment conditions on mean and variance}
+\usage{
+\method{mean}{variance.GMM.gradient}(param, Data, type = "mu")
+}
+\arguments{
+  \item{param}{GAL parameters}
+}
+\value{
+gradient matrix
+}
+\description{
+Derivative of the moment conditions according to the vector
+of parameters
+}
+\author{
+François Pelletier
+}
+