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Last data update: 2014.03.03

R: Locating a Conditioned First-Passage-Time Variable

summary.fptl

R Documentation

Locating a Conditioned First-Passage-Time Variable

Description

summary.fptl summary method for class “fptl”.

is.summary.fptl tests if its argument is an object of class “summary.fptl”.

print.summary.fptl shows an object of class “summary.fptl”.

Usage

## S3 method for class 'fptl'
summary(object, zeroSlope = 0.01, p0.tol = 8, k = 3, ...)

is.summary.fptl(obj)

## S3 method for class 'summary.fptl'
print(x, ...)

Arguments

`object`	an object of class ‘fptl’, a result of a call to `FPTL`.
`obj`	an R object to be tested.
`x`	an object of class ‘summary.fptl’, a result of a call to `summary.fptl`.
`zeroSlope`	maximum slope required to consider that a growing function is constant.
`p0.tol`	controls where the First-Passage-Time Location function begins to increase significantly.
`k`	controls whether the First-Passage-Time Location function decreases very slowly.
`...`	other arguments passed to functions.

Details

The summary.fptl function extracts the information contained in object about the location of the variation range of a conditioned first-passage-time (f.p.t.) variable.

It makes an internal call to growth.intervals function in order to determine the time instants t[i], i=1,...,m, from which the First-Passage-Time Location (FPTL) function starts growing, and its local maximums tmax[i]. For this, zeroSlope argument is considered.

If there is no growth subinterval, the execution of the function summary.fptl is stopped and an error is reported. Otherwise, for each of the subintervals I[i] = [t[i], t[i+1]] the function determines:

The first time instant t[i]* in [t[i], tmax[i]] at which the function is bigger than or equal to

p[i]* = p[i] + 10^{-p0.tol}(pmax[i] - p[i]) ,

where p[i] = FPTL(t[i]) and pmax[i] = FPTL(tmax[i]) .

10^{-p0.tol} is the ratio of the global increase of the function in the growth subinterval [t[i], tmax[i]] that should be reached to consider that it begins to increase significantly.
The first time instant tmax[i]^- in [t[i], tmax[i]] at which the FPTL function is bigger than or equal to

pmax[i]^- = pmax[i](1 - 0.05(pmax[i] - p[i])) .
The last time instant tmax[i]^+ in [tmax[i], T[i]] at which the FPTL function is bigger than or equal to

pmax[i]^+ = max { 1 - (1 - pmax[i]^2)^{(1+q)/2}, FPTL(T[i])} ,

where

T[i] = min(tmax[i] + k (tmax[i] - t[i]*)(1 - pmax[i]), t[i+1])

and

q = (pmax[i] - p[i])/pmax[i] .

print.summary.fptl displays an object of class “summary.fptl” for immediate understanding of the information it contains.

Value

The summary.fptl function computes and returns an object of class “summary.fptl” and length 1.

An object of class “summary.fptl” is a list of length 1 for a conditioned f.p.t problem, or of the same length as the number of values selected from the non-degenerate initial distribution for an unconditioned f.p.t problem. Each component of the list is again a named list with two components:

instants

a matrix whose columns correspond to t[i], t[i]*, tmax[i]^-, tmax[i]and tmax[i]^+ values for each conditioned f.p.t problem.

FPTLValues

the matrix of values of the FPTL function on instants.

It also includes four additional attributes:

`Call`	a list of the unevaluated calls to the `summary.fptl` function, substituting each name
	in these calls by its value when the latter has length 1.
`FPTLCall`	a list of the unevaluated calls to the `FPTL` function that resulted in the objects
	used as `object` argument in `Call`.
`dp`	the common object used as `dp` argument in the unevaluated calls to the `FPTL`
	function in `FPTLCall`.
`vars`	NULL or a list containing the common values of names in `FPTLCall` for those names
	with values of length greater than 1.

For an unconditioned f.p.t problem, the object includes the additional attribute id specifying the non-degenerate initial distribution.

The attribute “summary.fptl” of the value (of class “fpt.density”) of the Approx.fpt.density function is an object of class summary.fptl of length 1 for a conditioned problem, and of length greather than 1 for an unconditioned problem. It is created from one or successive internal calls to the summary.fptl function.

is.summary.fptl returns TRUE or FALSE depending on whether its argument is an object of class “summary.fptl” or not.

Author(s)

References

RomÃ¡n, P., Serrano, J. J., Torres, F. (2008) First-passage-time location function: Application to determine first-passage-time densities in diffusion processes. Comput. Stat. Data Anal., 52, 4132–4146.

P. RomÃ¡n-RomÃ¡n, J.J. Serrano-PÃ©rez, F. Torres-Ruiz. (2012) An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function. Applied Mathematics and Computation, 218, 8408–8428.

P. RomÃ¡n-RomÃ¡n, J.J. Serrano-PÃ©rez, F. Torres-Ruiz. (2014) More general problems on first-passage times for diffusion processes: A new version of the fptdApprox R package. Applied Mathematics and Computation, 244, 432–446.

Examples

## Continuing the FPTL(.) example:

## Summarizing an object of class fptl
yy <- summary(y)
yy
print(yy, digits=10)
yy1 <- summary(y, zeroSlope = 0.001)
yy1
yy2 <- summary(y, zeroSlope = 0.001, p0.tol = 10)
yy2

zz <- summary(z)
zz

## Testing summary.fptl objects
is.summary.fptl(yy)
is.summary.fptl(zz)