Nothing
#### Methods for "fracdiff" objects
#### -------------------------------
coef.fracdiff <- function(object, ...) unlist(object[c("d", "ar", "ma")])
vcov.fracdiff <- function(object, ...) object$covariance.dpq
## Lines added by RJH. 9 Dec 2019
residuals.fracdiff <- function(object, ...) object$residuals
fitted.fracdiff <- function(object, ...) object$fitted
## End of RJH addition
logLik.fracdiff <- function(object, ...)
{
r <- object$log.likelihood
attr(r, "df") <- length(coef(object)) + 1:1 # "+ 1" : sigma^2
attr(r, "nobs") <- attr(r, "nall") <- object$n
class(r) <- "logLik"
r
}
print.fracdiff <- function(x, digits = getOption("digits"), ...)
{
cat("\nCall:\n ", deparse(x$call), "\n")
if(any(not.ok <- x$msg != "ok"))
cat(sprintf("\n*** Warning during (%s) fit: %30s\n",
names(x$msg)[not.ok], x$msg[not.ok]))
cat("\nCoefficients:\n")
print(coef(x), digits = digits, ...)
## print.default(x, digits = digits, ...)too cheap to be true
cat("sigma[eps] =", format(x$sigma), "\n")
cat("a list with components:\n")
print(names(x), ...)
invisible(x)
}
summary.fracdiff <- function(object, symbolic.cor = FALSE, ...)
{
## add a 'coef' matrix (and not much more):
cf <- coef(object)
se <- object$stderror.dpq
cf <- cbind("Estimate" = cf,
"Std. Error"= se, "z value" = cf / se,
"Pr(>|z|)" = 2 * pnorm(-abs(cf / se)))
object$coefficients <- cf # 'long name' such that coef(.) works
logl <- logLik(object)
object$df <- attr(logl, "df")
object$aic <- AIC(logl)
object$symbolic.cor <- symbolic.cor
## remove those components we have in 'coef' anyway
object$d <- object$ar <- object$ma <- object$stderror.dpq <- NULL
class(object) <- "summary.fracdiff"
object
}
print.summary.fracdiff <-
function(x, digits = max(3, getOption("digits") - 3),
correlation = FALSE,
symbolic.cor = x$symbolic.cor,
signif.stars = getOption("show.signif.stars"), ...)
{
cat("\nCall:\n ", deparse(x$call), "\n")
if(any(not.ok <- x$msg != "ok"))
cat(sprintf("\n*** Warning during (%s) fit: %30s\n",
names(x$msg)[not.ok], x$msg[not.ok]))
cat("\nCoefficients:\n")
printCoefmat(x$coef, digits = digits, signif.stars = signif.stars, ...)
cat("sigma[eps] =", format(x$sigma), "\n")
cat("[d.tol = ", formatC(x$d.tol),", M = ", x$M,", h = ",formatC(x$h),
## really not much informative: "length.w = ", x$length.w,
"]\n", sep='')
cat("Log likelihood: ", formatC(x$log.likelihood, digits=digits),
" ==> AIC = ", x$aic," [", x$df," deg.freedom]\n", sep='')
if (correlation && !is.null(correl <- x$correlation.dpq)) {
p <- NCOL(correl)
if (p > 1) {
cat("\nCorrelation of Coefficients:\n")
if (is.logical(symbolic.cor) && symbolic.cor) {
print(symnum(correl, abbr.colnames = NULL))
}
else {
correl <- format(round(correl, 2), nsmall = 2, digits = digits)
correl[!lower.tri(correl)] <- ""
print(correl[-1, -p, drop = FALSE], quote = FALSE)
}
}
}
invisible(x)
}
### This and coef.fracdiff() were supplied
## From: Spencer Graves <spencer.graves@pdf.com>
## To: Melissa Ann Haltuch <mhaltuch@u.washington.edu>
## CC: r-help@stat.math.ethz.ch, Martin Maechler <maechler@stat.math.ethz.ch>
## Subject: Re: [R] fracdiff
## Date: Sun, 23 Jul 2006 03:40:08 +0800
confint.fracdiff <- function(object, parm, level = 0.95, ...)
{
p <- length(cf <- coef(object))
stopifnot(p >= 1, length(level) == 1, 0 < level, level < 1)
se <- object$stderror.dpq
pnames <- names(cf)
names(se) <- pnames
if (missing(parm))
parm <- 1:p
else if (is.character(parm))
parm <- match(parm, pnames, nomatch = 0)
cf <- cf[parm]
se <- se[parm]
a <- (1-level)/2
a <- c(a, 1 - a)
CI <- cf + outer(se, qnorm(a))
dimnames(CI)[[2]] <- paste(format(100*a), "%")
CI
}
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