Last data update: 2014.03.03
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R: Phi-divergence test statistic for stochastic differential...
Phi-divergence test statistic for stochastic differential equations
Description
Phi-divergence test statistic for stochastic differential equations.
Usage
phi.test(yuima, H0, H1, phi, print=FALSE,...)
Arguments
yuima |
a yuima object.
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H0 |
a named list of parameter under H0.
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H1 |
a named list of parameter under H1.
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phi |
the phi function to be used in the test. See Details.
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print |
you can see a progress of the estimation when print is TRUE .
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... |
passed to qmle function.
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Details
phi.test executes a Phi-divergence test. If H1 is not specified
this hypothesis is filled with the QMLE estimates.
If phi is missing, then phi(x)=1-x+x*log(x) and the
Phi-divergence statistic corresponds to the likelihood ratio test statistic.
Value
ans |
an obkect of class phitest .
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Author(s)
The YUIMA Project Team
Examples
model<- setModel(drift="t1*(t2-x)",diffusion="t3")
T<-10
n<-1000
sampling <- setSampling(Terminal=T,n=n)
yuima<-setYuima(model=model, sampling=sampling)
h0 <- list(t1=0.3, t2=1, t3=0.25)
X <- simulate(yuima, xinit=1, true=h0)
h1 <- list(t1=0.3, t2=0.2, t3=0.1)
phi1 <- function(x) 1-x+x*log(x)
phi.test(X, H0=h0, H1=h1,phi=phi1)
phi.test(X, H0=h0, phi=phi1, start=h0, lower=list(t1=0.1, t2=0.1, t3=0.1),
upper=list(t1=2,t2=2,t3=2),method="L-BFGS-B")
phi.test(X, H0=h1, phi=phi1, start=h0, lower=list(t1=0.1, t2=0.1, t3=0.1),
upper=list(t1=2,t2=2,t3=2),method="L-BFGS-B")
Results
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