"fGARCH" method for 'stats::tsdiag'. The method
produces diagnostic plot for fitted GARCH/APARCH models and computes
some diagnostic tests. The plots can be chosen iteractively and/or
via arguments. The test results are in the returned value. The
method is in development in that more plots may be made available
and additional tests included in the returned value.
"fGARCH" method for 'summary' to return
an object from S3 class 'summary_fGARCH' equipped with a 'print'
method. The printout is the same as before, except that now the
numbers in the statistics column for the residual diagnostics are
aligned on the decimal point (previously they were left-aligned due
to a buglet).
"fGARCH" method for
fitted was returning the
data, not the fitted values. Fixes issue 6789, reported by Kouhei
the help pages for the
"fGARCH" methods for
residuals() were stating that the
returned results have the same class as the input time
series. Actually, they return numeric vectors. (todo?: to make the
returned values as previously documented,
need to put the original data or the necessary information in the
fitted object, e.g.,
some tests were using deprecated
(notice the leading dot). Replaced such calls with the equivalent
absMoments, the absolute moments for the
standardized Student-t distribution were wrong.
in README, linked to the paper by Wuertz et al.
substantially revised the documentation and filled gaps in it.
removed the functions with suffix '_orig' which were kept temporarilly after the bug fix in v4021.87 since there were no reported problems with the fix.
require Matrix (>= 1.5-0) to avoid problems for users who have earlier versions of Matrix on their devices (thanks to Mikael Jagan for checking for not strict enough dependency on Matrix and alerting the maintainer).
Georgi N. Boshnakov
Fixed issue 6061 raised by William Scott, who also supplied examples.
The quantile function,
qsnorm, was wrong around
0.5. The error was in
.qsnorm. For now its version before
the fix is kept as
.qsnorm_orig. Basically, branching was
p = 0.5, which is correct only for the symmetric
\xi = 1, and should be
1/(1+\xi^2) instead. More
details in the source code. The error was affecting the central
part of the distrbution with the interval becoming larger for
\xi further away from 1.
psnorm, had an error at a single point,
coinciding with the wrong value for
p = 0.5 returned by
qsnorm(0.5) before the fix. The result was that
psnorm(qsnorm(0.5)) was returning 0.5, falsely giving
qsnorm(0.5) was correct.
Not mentioned in issue 6061 but the same problems held for
the other skewed distributions:
psged. The original versions of the relevant
internal functions are kept for now with a suffix
Edited the documentation of
garchSim. It was somewhat incomplete and contained
leftovers, apparently from old versions of the functions.
Documented the datasets. Previously the help page for them was a placeholder, without the names of the available datasets. There is no information about the time span of the data or how the returns were calculated.
This is a CRAN release of version 4001.1, with trivial changes in ‘DESCRIPTION’.
ad interim: Martin Maechler
This may require updates in your code, e.g., adding
as it has been done in our own fGarch's examples and tests.
.gogarchFit() is at least mentioned in the documentation.
Added registration of compiled functionality for speed up and as good practice.
Depends: entries and checked exactly which
parts of packages, notably fBasics, timeDate, and
timeSeries, are needed and imported only these.
Eliminated warning about 'length > 1' character formula in
Replaced the error-prone checking for 'class()' equality by 'inherits(*, <class>)'.
Exporting practically everything seems “wrong” (according to MM):
.<some> functions have no documentation and
hence should either be (renamed and) documented or no longer be exported.
data argument should never have a default: hence removed
in ‘dist-norm.Rd’, removed the description of argument
..., which is not in the argument list of any function
in ‘NAMESPACE’ and ‘R/methods-plot.R’ renamed
compressed datasets ‘data/dem2gbp.csv’ and ‘data/sp500dge.csv’ to ‘data/dem2gbp.csv.bz2’ ‘data/sp500dge.csv.bz2’, respectively.
Startup message removed
Incorporate fixes by CRAN team (Brian Ripley?)
Checks and adaptions for R 3.4.2, e.g., ‘DESCRIPTION’, ...
in ‘NAMESPACE’, import (selectively) from utils.
changed a couple of calls to
Matrix() from package
fastICA() from fastICA to the fully
removed some flag settings in ‘Makevars’.
in ‘math.f’, move a
DATA command out of the body
"if" block putting it towards the beginning of the
Changes up to April 2013, by Yohan Chalabi, Diethelm Wuertz, Pierre Chausse and Martin Maechler are all in file ‘ChangeLog’.