R/misc.R

In tsDyn: Nonlinear Time Series Models with Regime Switching

#.onAttach <- function(...) { 
#	cat("Version 0.7 of package tsDyn will have probably a few minor revisions rapidly.\n User should #update the package often.\n Minor revisions will be announced only on the tsdyn mailing list: #tsdyn@googlegroups.com\n")
#}

extend <- function(...)
	UseMethod("extend")

extend.list <- function(this, subclass, ..., listV) {
	class(this) <- c(subclass, class(this))
	if(missing(listV))
		return(structure(c(this, list(...)), class=class(this)))
	else
		return(structure(c(this, listV), class=class(this)))
}

MyEnv <- function(...) {
	this <- new.env()
	vars <- list(...)
	nms <- names(vars)
	if(length(nms)) for(i in 1:length(nms))
		assign(nms[i], vars[[i]], envir=this)
	structure(this, class=c("MyEnv",class(this)))
}

extend.MyEnv <- function(this, subclass, ...) {
	class(this) <- c(subclass, class(this))
	newvars <- list(...)
	if(length(names(newvars))) for(nm in names(newvars))
		assign(nm, newvars[[nm]], envir=this)
	return(this)
}



#'Available models
#'
#'Available built-in time series models
#'
#'Return the list of built-in available \sQuote{nlar} time series models
#'
#'@return A character vector containing built-in time series models. For help
#'on a specific model, type: \code{help(modelName)}.
#'@author Antonio, Fabio Di Narzo
#'@keywords ts
#'@export
#'@examples
#'
#'availableModels()
#'
availableModels <- function()
  fitters

latex <- function(obj, ...)
  UseMethod("latex")

formatSignedNum <- function(x, ...) {
  signChar <- c("-","+")[(x>=0)+1]
  nm <- names(x)
  res <- paste(signChar,format(abs(x), ...) )
  names(res) <- nm
  return(res)
}

build <- function(...)
  UseMethod("build")

add <- function(...)
  UseMethod("add")



#'sigmoid functions
#'
#'Some sigmoid functions. See R sources for their definition
#'
#'
#'@aliases sigmoid d2sigmoid
#'@param x numeric vector
#'@author J. L. Aznarte
#'@keywords ts
#'@export
sigmoid <- function(x) 1/(1 + exp(-x))

#' @export
#' @rdname sigmoid
dsigmoid <- function(x) x * (1 - x)

repmat <- function(a, b, c) kronecker(matrix(1,b,c), a)

norma <- function(v) sqrt(sum(v^2))

## lag, manually
lag_manual <-  function(x, k=1, time_attr = FALSE) {
  xlen <- length(x)
  out <- c(rep(NA, k), x[seq_len(xlen - k)])
  if(time_attr) attributes(out) <- attributes(x)
  out
}

###Function to create the threshold in TVAR
TVAR_thresh<-function(mTh, thDelay, thVar=NULL, y, p){
  T <- nrow(y) 
  k <- ncol(y) 
  if (!is.null(thVar)) {		
    if (length(thVar) > T) {
      z <- thVar[seq_len(T)]
      warning("The external threshold variable is not of same length as the original variable")
    } else {
      z <- thVar
    }
    z<-embed(z,p+1)[,seq_len(max(thDelay))+1]		#if thDelay=2, ncol(z)=2
    combin <- matrix(0, ncol=1, nrow=k)
  } ###Combination (or single value indicating position) of contemporaneous variables
  else {
    if (!length(mTh)%in%c(1,k))
      stop("length of 'mTh' should be equal to the number of variables, or just one")
    if(length(mTh)==1) {
      combin <- matrix(0, ncol=1, nrow=k)
      combin[mTh,]<-1
    } else { 
      combin<-matrix(mTh, ncol=1, nrow=k)
    }
    zcombin <- y %*% combin
    z <- embed(zcombin,p+1)[,seq_len(max(thDelay))+1]		#if thDelay=2, ncol(z)=2
  }
  
  # return result
  res <- list(trans=as.matrix(z), combin=combin)
  res
}

#Function to obtain the number of digits of a value
getndp <- function(x, tol=2*.Machine$double.eps){
  internal<-function(x){
    ndp <- 0
    while(!isTRUE(all.equal(x, round(x, ndp), tol=tol))) ndp <- ndp+1 
    if(ndp > -log10(tol)) warning("Tolerance reached, ndp possibly underestimated.")
    ndp 
  }
  if(!is.null(dim(x)))
    x<-c(x)
  if(length(x)==1)
    return(internal(x))
  else if(length(x) %in% c(2:20))
    return(max(apply(matrix(x),1,internal)))
  else
    return(max(apply(matrix(sample(x,size=20)),1,internal)))
}

### Parameter matrix of tar with 1 threshold,  given the thresh and the delay
TAR1t_B<-function(thDelay,gamma,yy, xxl,xxh,z,m) {#
  isL <- ifelse(z[, thDelay + 1]<= gamma,1,0)	### isL: dummy 
  ndown<-mean(isL)
  xxthresh <- cbind(xxl * isL,xxh * (1 - isL))	### Lower matrix
  B<-round(matrix(solve(crossprod(xxthresh))%*%crossprod(xxthresh,yy), nrow=1),5)
  
  Bcolnames <- c("Trend", c(paste("t -", seq_len(m))))
  colnames(B)<-rep(Bcolnames,2)
  Bdown <- B[,seq_len(ncol(B)/2)]
  Bup <- B[,-seq_len(ncol(B)/2)]
  nobs <- c(ndown=ndown, nup=1-ndown)
  
  list(Bdown=Bdown, Bup=Bup, nobs=nobs)
}

### Parameter matrix of tar with 2 thresholds,  given the 2 thresh and the delay
TAR2t_B <- function(gam1,gam2,thDelay, yy, xx,z,m){
  ##Threshold dummies
  dummydown <- ifelse(z[, thDelay + 1]<=gam1, 1, 0)
  regimedown <- dummydown*xx
  ndown <- mean(dummydown)
  dummyup <- ifelse(z[, thDelay + 1]>gam2, 1, 0)
  regimeup <- dummyup*xx
  nup <- mean(dummyup)
  ##SSR from TAR(3)
  XX <- cbind(regimedown, (1-dummydown-dummyup)*xx, regimeup)		# dim k(p+1) x t	
  B <- round(matrix(solve(crossprod(XX))%*%crossprod(XX,yy),nrow=1),5)	#SSR
  Bcolnames <- c("Trend", c(paste("t -", seq_len(m))))
  colnames(B)<-rep(Bcolnames,3)
  npar<-ncol(B)/3
  Bdown <- B[,c(1:npar)]
  Bmiddle <- B[,c(1:npar)+npar]
  Bup <- B[,c(1:npar)+2*npar]
  nobs <- c(ndown=ndown, nmiddle=1-ndown-nup,nup=nup)	
  list(Bdown=Bdown, Bmiddle=Bmiddle, Bup=Bup, nobs=nobs)
}


###Check if the AR coefficients in each regime lie inside the unit circle
is.InUnitCircle<-function(B,ninc,m, nthresh){
  
  a<-ninc
  B<-as.vector(B)
  
  para<-B[a+seq_len(m)]
  charPol<-c(1, -para)
  
  val1<-polyroot(charPol)
  root<-Mod(val1)
  
  for(i in 1:(nthresh+1))
    #extract coef
    #build poly
    #extract roots
    #name it
    
    if(nthresh==1|nthresh==2){
      para2<-B[a+seq_len(m)+m+a]
      charPol2<-c(1, -para2)
      val2<-polyroot(charPol2)
      root<-matrix(c(root,Mod(val2)), nrow=1)
      colnames(root)<-c(paste("reg", rep(1,m)),paste("reg", rep(2,m)))
      if(nthresh==2){
        para3<-B[a+seq_len(m)+2*(m+a)]
        charPol3<-c(1, -para3)
        val3<-polyroot(charPol3)
        root<-matrix(c(root, Mod(val3)), nrow=1)
        colnames(root)<-c(paste("reg", rep(1,m)),paste("reg", rep(2,m)),paste("reg", rep(3,m)))
      }
    }
  
  if(any(root<=1))
    list(warn=TRUE, root=root)
  else
    list(warn=FALSE, root=root)
}



percent<-function(x,digits=3,by100=FALSE){
  a<-ifelse(by100,100,1)
  paste(a*round(x,digits),"%",sep="")
}

myformat <- function(x,digits, toLatex=FALSE){
  r<-x
  littlex<-abs(x)<10^-(digits)
  r[!littlex]<-formatC(x[!littlex],digits=digits, format="f")
  r[littlex]<-format(x[littlex],digits=min(digits,2), scientific=TRUE)
  if(toLatex)
    r<-gsub("(e.*)","slashtext{\\1}",r)
  if(inherits(x, "numeric")) {
    return(noquote(r))
  } else if(inherits(x, "matrix")) {
    return(matrix(noquote(r), ncol=ncol(x), nrow=nrow(x)))
  }
}

###Assign to class list is class matrix
asListIfMat<-function(x){
  if(inherits(x, "matrix"))
    return(list(x))
  else
    return(x)
}

## function to name coefficients in a setar
name_coefs <- function(lags, nthresh, incNames=NULL) {
  names_onereg <- c(incNames, paste("phi", 1:lags, sep="_"))  
  if(nthresh==0) {
    return(names_onereg)
  } else {
    if(nthresh==1) {
      regNames <- c("L", "H")
    } else {
      regNames <- c("L","M",  "H")
    }
    res <- paste(names_onereg, rep(regNames, each = lags+length(incNames)), sep = "_")
    return(res)
  }
}


if(FALSE) {
  name_coefs(2, nthresh=1)
  name_coefs(2, nthresh=0)
  name_coefs(2, nthresh=1, incNames = c("const"))
  name_coefs(2, nthresh=0, incNames = c("const"))
  
}

myInsertCol<-function (m, c, v = NA) {
  #m: matrix
  #c: columns numbers
  #v: value to add (scalar only)
  nr <- nrow(m)
  nc <- ncol(m)
  #first
  m2 <- if (1 %in% c) cbind(matrix(v, nrow = nr), m) else m
  #inter
  for(i in c[!c%in%c(1, length(c)+nc)])
    m2 <- cbind(m2[, 1:(i - 1), drop=FALSE], matrix(v, nrow = nr), m2[,i:ncol(m2), drop=FALSE])
  #last
    if (eval(ncol(m2) + 1) %in% c) 
      m2 <- cbind(m2, matrix(v, nrow = nr))

    return(m2)
}

ct <- function(x) c(t(x))

if(FALSE){
X<-freeny.x
myInsertCol(X, 1, 2)
myInsertCol(X, c(1,2,4,5), 1)
myInsertCol(X, c(1,2,3,5,9), 1)
}



## functions for tests
tsDCheck_rem_quo <-  function(x) gsub("[[:punct:]]([[:alnum:]]+)[[:punct:]]:", "\\1:", x)

tsDCheck_all.equal <-  function(target, current, ...) {
  out <- all.equal(target, current, ...)
  if(!isTRUE(out)) out <- tsDCheck_rem_quo(out)
  out
}