phi.test | R Documentation |
Phi-divergence test statistic for stochastic differential equations.
phi.test(yuima, H0, H1, phi, print=FALSE,...)
yuima |
a yuima object. |
H0 |
a named list of parameter under H0. |
H1 |
a named list of parameter under H1. |
phi |
the phi function to be used in the test. See Details. |
print |
you can see a progress of the estimation when print is |
... |
passed to |
phi.test
executes a Phi-divergence test. If H1
is not specified
this hypothesis is filled with the QMLE estimates.
If phi
is missing, then phi(x)=1-x+x*log(x)
and the
Phi-divergence statistic corresponds to the likelihood ratio test statistic.
ans |
an obkect of class |
The YUIMA Project Team
## Not run: model<- setModel(drift="t1*(t2-x)",diffusion="t3") T<-10 n<-1000 sampling <- setSampling(Terminal=T,n=n) yuima<-setYuima(model=model, sampling=sampling) h0 <- list(t1=0.3, t2=1, t3=0.25) X <- simulate(yuima, xinit=1, true=h0) h1 <- list(t1=0.3, t2=0.2, t3=0.1) phi1 <- function(x) 1-x+x*log(x) phi.test(X, H0=h0, H1=h1,phi=phi1) phi.test(X, H0=h0, phi=phi1, start=h0, lower=list(t1=0.1, t2=0.1, t3=0.1), upper=list(t1=2,t2=2,t3=2),method="L-BFGS-B") phi.test(X, H0=h1, phi=phi1, start=h0, lower=list(t1=0.1, t2=0.1, t3=0.1), upper=list(t1=2,t2=2,t3=2),method="L-BFGS-B") ## End(Not run)
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