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gradient moyenne variance GMM

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François Pelletier 2014-02-27 23:07:02 -05:00
parent 23984a21df
commit ae40f58427
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R/mean.variance.GMM.gradient.R Normal file
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# 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)
}
}