diff options
| -rw-r--r-- | R/estUtil.R | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/R/estUtil.R b/R/estUtil.R index 8659580..5661807 100644 --- a/R/estUtil.R +++ b/R/estUtil.R @@ -12,7 +12,7 @@ levbmqdt <- function(...,obj,theta0,N,opt){ i <- 0 l <- obj(theta=theta0,e=NULL,dots) e <- l$e - sumsq0 <- sum(e^2)/N + sumsq0 <- sum(e^2)/df # variable to count the number of times objective function is called countObj <- 0 @@ -23,19 +23,19 @@ levbmqdt <- function(...,obj,theta0,N,opt){ # Update gradient l <- obj(theta0,e,dots) - g <- 1/N*t(l$grad)%*%e + g <- 1/df*t(l$grad)%*%e termPar <- norm(g,"2") repeat{ # Update Parameters - H <- 1/N*t(l$grad)%*%l$grad + d*diag(dim(theta0)[1]) + H <- 1/df*t(l$grad)%*%l$grad + d*diag(dim(theta0)[1]) Hinv <- solve(H); theta <- theta0 + Hinv%*%g # Evaulate sum square error fn <- l$Y-l$X%*%theta - sumsq <- sum(fn^2)/N + sumsq <- sum(fn^2)/df sumSqDiff <- sumsq0-sumsq countObj <- countObj + 1 @@ -70,9 +70,9 @@ levbmqdt <- function(...,obj,theta0,N,opt){ } } # theta <- theta0 - e <- e[1:N,] + e <- fn[1:N,] sigma2 <- sum(e^2)/df - vcov <- 1/N*Hinv*sigma2 + vcov <- 1/df*Hinv*sigma2 list(params=theta,residuals=e,vcov=vcov,sigma = sqrt(sigma2), termination=list(WhyStop=WhyStop,iter=i,FcnCount = countObj, |