Nothing
require("dse")
Sys.info()
DSEversion()
data("eg1.DSE.data.diff", package="dse")
if (!is.TSdata(eg1.DSE.data.diff)) stop("Test data not found. Testing stopped.")
fuzz.small <- 1e-14
fuzz.large <- 1e-10
digits <- 18
all.ok <- TRUE
test.rng <- list(kind="Wichmann-Hill",seed=c(979,1479,1542),normal.kind="Box-Muller")
VARmodel <- estVARXar(eg1.DSE.data.diff, re.add.means=FALSE, warn=FALSE)
VARmodelB <- TSmodel(VARmodel)
B <- t(chol(VARmodel$estimates$cov))
VARmodelB$B <- array(B, c(1,dim(B))) # has B != I
VARmodelB <- setTSmodelParameters(VARmodelB)
VARmodelB <- l(VARmodelB,VARmodel$data, warn=FALSE)
cat("dse test 8a ...\n")
z <- simulate(TSmodel(VARmodel), input=inputData(eg1.DSE.data.diff))
zz <- simulate(TSmodel(VARmodel), rng=setRNG::getRNG(z),
input=inputData(eg1.DSE.data.diff))
ok <- testEqual(z, zz, fuzz=fuzz.small)
if (!ok)
{
all.ok <- FALSE
}
cat("dse test 8b ...\n")
sigma <- solve(t(VARmodelB$model$B[1,,]) %*% VARmodelB$model$B[1,,])
sigma <- (sigma + t(sigma))/2 # insure symetric - chol is sensitive
zzz <- simulate(TSmodel(VARmodelB), rng=setRNG::getRNG(z),
input=inputData(eg1.DSE.data.diff), Cov=sigma)
ok <- testEqual(z, zzz, fuzz=fuzz.small)
error <- max(abs(outputData(z) - outputData(zzz)))
cat("max. error ", max(error), "\n")
if (any(is.na(error)) || any(is.nan(error)) || fuzz.small < error || !ok)
{printTestValue(outputData(z), digits=18)
printTestValue(outputData(zzz), digits=18)
all.ok <- FALSE
}
cat("dse test 8c ...\n")
# next use estimates$cov
z <- simulate(VARmodel, input=inputData(eg1.DSE.data.diff))
sigma <- VARmodel$estimates$cov
sigma <- (sigma + t(sigma))/2 # insure symetric - chol is sensitive
zz <- simulate(TSmodel(VARmodel), rng=setRNG::getRNG(z),
input=inputData(eg1.DSE.data.diff), Cov=sigma)
if ( ! testEqual(z, zz, fuzz=fuzz.small))
{
all.ok <- FALSE
}
ok <- testEqual(summary(z)$estimates,
summary(zz)$estimates, fuzz=fuzz.small)
if ( !ok)
{printTestValue(c(summary(z)$estimates), digits=18)
printTestValue(c(summary(zz)$estimates), digits=18)
all.ok <- FALSE
}
if (! all.ok) stop("some tests FAILED")
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