diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/nonparam.R | 28 |
1 files changed, 20 insertions, 8 deletions
diff --git a/R/nonparam.R b/R/nonparam.R index 5b32552..af12786 100644 --- a/R/nonparam.R +++ b/R/nonparam.R @@ -42,17 +42,20 @@ impulseest <- function(data,M=30,K=0,regul=F,lambda=1){ # Dealing with Regularization if(regul==F){ - lambda = 0 + # Fit Linear Model and find standard errors + fit <- lm(Y~Z-1) + coefficients <- coef(fit); residuals <- resid(fit) + } else{ + inner <- t(Z)%*%Z + lambda*diag(dim(Z)[2]) + pinv <- solve(inner)%*% t(Z) + coefficients <- pinv*Y + residuals <- Y - Z*coefficients } - - # Fit Linear Model and find standard errors - fit <- lm(Y~Z-1) - df <- nrow(Z)-ncol(Z);sigma2 <- sum(resid(fit)^2)/df + df <- nrow(Z)-ncol(Z);sigma2 <- sum(residuals^2)/df vcov <- sigma2 * solve(t(Z)%*%Z) se <- sqrt(diag(vcov)) - - out <- list(coefficients=coef(fit),residuals=resid(fit),lags=K:(M+K), + out <- list(coefficients=coefficients,residuals=residuals,lags=K:(M+K), x=colnames(data$input),y=colnames(data$output),se = se) class(out) <- "impulseest" return(out) @@ -174,8 +177,17 @@ etfe <- function(data){ tempfft <- mvfft(temp)/dim(temp)[1] freq <- seq(from=1,to=ceiling(dim(tempfft)[1]/2), by=1)/ceiling(dim(tempfft)[1]/2)*pi/data$Ts - resp <- as.complex(tempfft[,1]/tempfft[,2]) + resp <- comdiv(tempfft[,1],tempfft[,2]) out <- idfrd(response=resp[1:ceiling(length(resp)/2)],freq=freq, Ts=data$Ts) return(out) +} + +comdiv <- function(z1,z2){ + require(signal) + + mag1 <- Mod(z1);mag2 <- Mod(z2) + phi1 <- unwrap(Arg(z1)); phi2 <- unwrap(Arg(z2)) + + complex(modulus=mag1/mag2,argument=phi1-phi2) }
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