Nothing
test_that("Univariate GARCH likelihood 3dims works", {
set.seed(23211)
Tob <- 200
k <- 3
init_gamma <- runif(k)
init_g <- rep(NA, k)
test_g <- NA
for(i in 1:k){
test_g <- runif(1)
if(init_gamma[i] + test_g < 1){
init_g[i] <- test_g
}else{
while(init_gamma[i] + test_g > 1){
test_g <- runif(1)
}
init_g[i] <- test_g
}
}
parameter_ini_univ <- cbind(init_gamma, init_g)
Sigma_e_0 <- matrix(runif(Tob*k), Tob, k)
ste <- matrix(rnorm(Tob*k), k, Tob)
l <- LikelihoodGARCHu(parameter_ini_univ[1, ], est = ste[1, ], Sigma1 = Sigma_e_0[1, 1], Tob = Tob)
expect_equal(round(l,2), 65692.17)
})
test_that("Univariate GARCH likelihood 5dims works", {
set.seed(23211)
Tob <- 200
k <- 5
init_gamma <- runif(k)
init_g <- rep(NA, k)
test_g <- NA
for(i in 1:k){
test_g <- runif(1)
if(init_gamma[i] + test_g < 1){
init_g[i] <- test_g
}else{
while(init_gamma[i] + test_g > 1){
test_g <- runif(1)
}
init_g[i] <- test_g
}
}
parameter_ini_univ <- cbind(init_gamma, init_g)
Sigma_e_0 <- matrix(runif(Tob*k), Tob, k)
ste <- matrix(rnorm(Tob*k), k, Tob)
l <- LikelihoodGARCHu(parameter_ini_univ[1, ], Sigma1 = Sigma_e_0[1, 1], est = ste[1, ], Tob = Tob)
expect_equal(round(l,2), 60198.07)
})
test_that("Multivariate GARCH likelihood 3dims works unrestricted", {
set.seed(123)
# Generating paramater
parameter <- runif(9)
SigmaE <- matrix(runif(3*200), 200, 3)
Tob <- 200
k <- 3
u <- matrix(rnorm(3*200), 200, 3)
RestrictionMatrix <- matrix(NA, 3, 3)
restrictions <- 0
l <- LikelihoodGARCHm(parameter, SigmaE, Tob, k, u,
RestrictionMatrix, restrictions)
expect_equal(round(l,1), 130620.3)
})
test_that("Multivariate GARCH likelihood 3dims works restricted", {
set.seed(123)
# Generating paramater
parameter <- runif(9)
SigmaE <- matrix(runif(3*200), 200, 3)
Tob <- 200
k <- 3
u <- matrix(rnorm(3*200), 200, 3)
RestrictionMatrix <- matrix(NA, 3, 3)
RestrictionMatrix[1, 2:3] <- 0
RestrictionMatrix[2, 3] <- 0
restrictions <- 3
l <- LikelihoodGARCHm(parameter, SigmaE, Tob, k, u,
RestrictionMatrix, restrictions)
expect_equal(round(l), 1334864)
})
test_that("Multivariate GARCH likelihood 5dims works unrestricted", {
set.seed(123)
# Generating paramater
parameter <- runif(25)
SigmaE <- matrix(runif(5*200), 200, 5)
Tob <- 200
k <- 5
u <- matrix(rnorm(5*200), 200, 5)
RestrictionMatrix <- matrix(NA, 5, 5)
restrictions <- 0
l <- LikelihoodGARCHm(parameter, SigmaE, Tob, k, u,
RestrictionMatrix, restrictions)
expect_equal(round(l,1), 313771.9)
})
test_that("Multivariate GARCH likelihood 5dims works unrestricted", {
set.seed(123)
# Generating paramater
parameter <- runif(25)
SigmaE <- matrix(runif(5*200), 200, 5)
Tob <- 200
k <- 5
u <- matrix(rnorm(5*200), 200, 5)
RestrictionMatrix <- matrix(NA, 5, 5)
RestrictionMatrix[1, 2:5] <- 0
RestrictionMatrix[2, 3:5] <- 0
RestrictionMatrix[3, 4:5] <- 0
RestrictionMatrix[4, 5] <- 0
restrictions <- 10
l <- LikelihoodGARCHm(parameter, SigmaE, Tob, k, u,
RestrictionMatrix, restrictions)
expect_equal(round(l), 15329867)
})
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