Nothing
E.bridge <- function(bridge) {
return(abs(mean(bridge)))
}
E.studentbridge <- function(studentbridge) {
return(E.bridge(studentbridge))
}
E.brownianbridge <- function(brownianbridge) {
return(E.bridge(brownianbridge))
}
E.loglikbridge <- function(loglikbridge) {
return(E.bridge(loglikbridge))
}
var.bridge <- function(bridge) {
return(var(bridge))
}
var.studentbridge <- function(studentbridge) {
return(var.bridge(studentbridge))
}
var.brownianbridge <- function(brownianbridge) {
return(var.bridge(brownianbridge))
}
var.loglikbridge <- function(loglikbridge) {
return(var.bridge(loglikbridge))
}
autocov.bridge <- function(bridge) {
Nb = length(bridge)
return(cov(bridge[1:(Nb-1)],bridge[2:Nb]))
}
autocov.studentbridge <- function(studentbridge) {
return(autocov.bridge(studentbridge))
}
autocov.brownianbridge <- function(brownianbridge) {
return(autocov.bridge(brownianbridge))
}
autocov.loglikbridge <- function(loglikbridge) {
return(autocov.bridge(loglikbridge))
}
loglik_mean.brownianbridge <- function(brownianbridge) {
Nbb = length(brownianbridge)
N = Nbb-1
seq.n = seq(from=1,to=N-1,by=1)
return(-mean(brownianbridge[2:N]^2 / (seq.n/N * (1-seq.n/N))))
}
loglik_mean.studentbridge <- function(studentbridge) {
Nsb = length(studentbridge)
return(-mean(log(dt(studentbridge,df=Nsb-2))))
}
loglik_extremum.brownianbridge <- function(brownianbridge) {
Nbb = length(brownianbridge)
n.ext = which.max(abs(brownianbridge))
return(brownianbridge[n.ext]^2 / ((n.ext-1)/(Nbb-1) * (1-(n.ext-1)/(Nbb-1))))
}
loglik_extremum.studentbridge <- function(studentbridge) {
Nsb = length(studentbridge)
return(-log(dt(max(abs(studentbridge)),df=Nsb-2)))
}
extremum.bridge <- function(bridge) {
return(max(abs(bridge)))
}
extremum.studentbridge <- function(studentbridge) {
return(extremum.bridge(studentbridge))
}
extremum.brownianbridge <- function(brownianbridge) {
return(extremum.bridge(brownianbridge))
}
extremum.loglikbridge <- function(loglikbridge) {
return(extremum.bridge(loglikbridge))
}
ratio_extremum.bridge <- function(bridge) {
max.bridge = max(bridge)
mmin.bridge = -min(bridge)
return(max(max.bridge/mmin.bridge,mmin.bridge/max.bridge))
}
ratio_extremum.studentbridge <- function(studentbridge) {
return(ratio_extremum.bridge(studentbridge))
}
ratio_extremum.brownianbridge <- function(brownianbridge) {
return(ratio_extremum.bridge(brownianbridge))
}
ratio_extremum.loglikbridge <- function(loglikbridge) {
return(ratio_extremum.bridge(loglikbridge))
}
ratio_loglik_extremum.brownianbridge <- function(brownianbridge) {
Nbb = length(brownianbridge)
N = Nbb-1
n.max.bridge = which.max(brownianbridge)-1
n.min.bridge = which.min(brownianbridge)-1
ll.max.bridge = brownianbridge[n.max.bridge+1]^2 / (n.max.bridge/N * (1-n.max.bridge/N))
ll.min.bridge = brownianbridge[n.min.bridge+1]^2 / (n.min.bridge/N * (1-n.min.bridge/N))
return(max(ll.max.bridge/ll.min.bridge,ll.min.bridge/ll.max.bridge))
}
# loglik_maximum.brownianbridge <- function(brownianbridge) {
# Nbb = length(brownianbridge)
# N = Nbb-1
# n.max.bridge = which.max(brownianbridge)-1
# #n.min.bridge = which.min(brownianbridge)-1
# ll.max.bridge = brownianbridge[n.max.bridge+1]^2 / (n.max.bridge/N * (1-n.max.bridge/N))
# #ll.min.bridge = brownianbridge[n.min.bridge+1]^2 / (n.min.bridge/N * (1-n.min.bridge/N))
# #return(max(ll.max.bridge/ll.min.bridge,ll.min.bridge/ll.max.bridge))
# return(ll.max.bridge)
# }
ratio_loglik_extremum.studentbridge <- function(studentbridge) {
Nsb = length(studentbridge)
ll.max.bridge = log(dt(max(studentbridge),df=Nsb-2))
ll.min.bridge = log(dt(min(studentbridge),df=Nsb-2))
return(max(ll.max.bridge/ll.min.bridge,ll.min.bridge/ll.max.bridge))
}
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