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‎tests/bridgesde_test.R‎

Lines changed: 34 additions & 4 deletions
Original file line numberDiff line numberDiff line change
@@ -1,5 +1,5 @@
11
options(prompt="R> ",scipen=16,digits=4,warning=FALSE, message=FALSE)
2-
library(Sim.DiffProc)
2+
library(Sim.DiffProc)
33

44

55

@@ -162,31 +162,61 @@ bconfint(mod3, at =s)
162162
f <- expression( 2*(1-x) )
163163
g <- expression( 1 )
164164

165-
mod1 <- bridgesde1d(drift=f,diffusion=g,x0=2,y=2,M=1,N=50,Dt=0.05)
165+
mod1 <- bridgesde1d(drift=f,diffusion=g,x0=2,y=2,M=1,N=50,Dt=0.05,method="predcorr")
166166
plot(mod1,type="n")
167167
lines(mod1,col=2)
168168
points(mod1,cex=0.1,pch=19)
169169

170+
mean(mod1)
171+
moment(mod1, center = TRUE , order = 2) ## variance
172+
Median(mod1)
173+
quantile(mod1)
174+
kurtosis(mod1)
175+
skewness(mod1)
176+
cv(mod1)
177+
min(mod1)
178+
max(mod1)
179+
170180
####
171181

172182
fx <- expression(4*(-1-x) , x)
173183
gx <- expression(0.2 , 0)
174184

175-
mod2 <- bridgesde2d(drift=fx,diffusion=gx,M=1,Dt=0.05,N=50)
185+
mod2 <- bridgesde2d(drift=fx,diffusion=gx,M=1,Dt=0.05,N=50,method="predcorr")
176186
plot(mod2,union = FALSE)
177187
plot(mod2,type="n")
178188
lines(mod2,col=2)
179189
points(mod2,cex=0.1,pch=19)
180190
plot2d(mod2)
181191

192+
mean(mod2)
193+
moment(mod2, center = TRUE , order = 2) ## variance
194+
Median(mod2)
195+
quantile(mod2)
196+
kurtosis(mod2)
197+
skewness(mod2)
198+
cv(mod2)
199+
min(mod2)
200+
max(mod2)
201+
182202
####
183203

184204
fx <- expression(4*(-1-x), 4*(1-y), 4*(1-z))
185205
gx <- rep(expression(0.2),3)
186206

187-
mod3 <- bridgesde3d(drift=fx,diffusion=gx,M=1,Dt=0.05,N=50)
207+
mod3 <- bridgesde3d(drift=fx,diffusion=gx,M=1,Dt=0.05,N=50,method="predcorr")
188208
plot(mod3,union = FALSE)
189209
plot(mod3,type="n")
190210
lines(mod3,col=2)
191211
points(mod3,cex=0.1,pch=19)
192212
plot3D(mod3)
213+
214+
mean(mod3)
215+
moment(mod3, center = TRUE , order = 2) ## variance
216+
Median(mod3)
217+
quantile(mod3)
218+
kurtosis(mod3)
219+
skewness(mod3)
220+
cv(mod3)
221+
min(mod3)
222+
max(mod3)

‎tests/fptsde_test.R‎

Lines changed: 138 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -1,5 +1,5 @@
11
options(prompt="R> ",scipen=16,digits=4,warning=FALSE, message=FALSE)
2-
library(Sim.DiffProc)
2+
library(Sim.DiffProc)
33

44
## -------------------------------------------------------------------
55

@@ -41,6 +41,46 @@ print(dfptsde1d(fpt1d))
4141
plot(dfptsde1d(fpt1d),hist=TRUE,nbins="FD") ## histogramm
4242
plot(dfptsde1d(fpt1d)) ## kernel density
4343

44+
## -------------------------------------------------------------------
45+
46+
f <- expression( (1-0.5*x) )
47+
g <- expression( 1 )
48+
mod1d <- snssde1d(drift=f,diffusion=g,x0=2.1,M=20,type="str")
49+
50+
St <- expression(2*(1-sinh(0.5*t)) )
51+
fpt1d <- fptsde1d(mod1d, boundary = St)
52+
print(fpt1d)
53+
head(fpt1d$fpt, n = 4)
54+
55+
56+
mean(fpt1d)
57+
moment(fpt1d , center = TRUE , order = 2) ## variance
58+
Median(fpt1d)
59+
Mode(fpt1d)
60+
quantile(fpt1d)
61+
kurtosis(fpt1d)
62+
skewness(fpt1d)
63+
cv(fpt1d)
64+
min(fpt1d)
65+
max(fpt1d)
66+
moment(fpt1d , center= TRUE , order = 4)
67+
moment(fpt1d , center= FALSE , order = 4)
68+
69+
summary(fpt1d)
70+
71+
72+
plot(time(mod1d),mod1d$X[,1],type="l",lty=3,ylab="X(t)",xlab="time",axes=F)
73+
curve(2*(1-sinh(0.5*x)),add=TRUE,col=2)
74+
points(fpt1d$fpt[1],2*(1-sinh(0.5*fpt1d$fpt[1])),pch=19,col=4,cex=0.5)
75+
lines(c(fpt1d$fpt[1],fpt1d$fpt[1]),c(0,2*(1-sinh(0.5*fpt1d$fpt[1]))),lty=2,col=4)
76+
axis(1, fpt1d$fpt[1], bquote(tau[S(t)]==.(fpt1d$fpt[1])),col=4,col.ticks=4)
77+
legend('topleft',col=c(1,2,4),lty=c(1,1,NA),pch=c(NA,NA,19),legend=c(expression(X[t]),expression(S(t)),expression(tau[S(t)])),cex=0.8,bty = 'n')
78+
box()
79+
80+
print(dfptsde1d(fpt1d))
81+
plot(dfptsde1d(fpt1d),hist=TRUE,nbins="FD") ## histogramm
82+
plot(dfptsde1d(fpt1d))
83+
4484

4585
## -------------------------------------------------------------------
4686

@@ -93,6 +133,54 @@ plot(denJ,display="persp",main="Bivariate Density of F.P.T",xlab=expression(tau[
93133

94134
## -------------------------------------------------------------------
95135

136+
fx <- expression(5*(-1-y)*x , 5*(-1-x)*y)
137+
gx <- expression(0.5*y,0.5*x)
138+
mod2d <- snssde2d(drift=fx,diffusion=gx,x0=c(x=-1,y=1),M=20,type="str")
139+
140+
St <- expression(sin(2*pi*t))
141+
fpt2d <- fptsde2d(mod2d, boundary = St)
142+
print(fpt2d)
143+
head(fpt2d$fpt, n = 4)
144+
145+
mean(fpt2d)
146+
moment(fpt2d , center = TRUE , order = 2) ## variance
147+
Median(fpt2d)
148+
Mode(fpt2d)
149+
quantile(fpt2d)
150+
kurtosis(fpt2d)
151+
skewness(fpt2d)
152+
cv(fpt2d)
153+
min(fpt2d)
154+
max(fpt2d)
155+
moment(fpt2d , center= TRUE , order = 4)
156+
moment(fpt2d , center= FALSE , order = 4)
157+
158+
summary(fpt2d)
159+
160+
plot(ts.union(mod2d$X[,1],mod2d$Y[,1]),col=1:2,lty=3,plot.type="single",type="l",ylab= "",xlab="time",axes=F)
161+
curve(sin(2*pi*x),add=TRUE,col=3)
162+
points(fpt2d$fpt$x[1],sin(2*pi*fpt2d$fpt$x[1]),pch=19,col=4,cex=0.5)
163+
lines(c(fpt2d$fpt$x[1],fpt2d$fpt$x[1]),c(sin(2*pi*fpt2d$fpt$x[1]),-10),lty=2,col=4)
164+
axis(1, fpt2d$fpt$x[1], bquote(tau[X[S(t)]]==.(fpt2d$fpt$x[1])),col=4,col.ticks=4)
165+
points(fpt2d$fpt$y[1],sin(2*pi*fpt2d$fpt$y[1]),pch=19,col=5,cex=0.5)
166+
lines(c(fpt2d$fpt$y[1],fpt2d$fpt$y[1]),c(sin(2*pi*fpt2d$fpt$y[1]),-10),lty=2,col=5)
167+
axis(1, fpt2d$fpt$y[1], bquote(tau[Y[S(t)]]==.(fpt2d$fpt$y[1])),col=5,col.ticks=5)
168+
legend('topright',col=1:5,lty=c(1,1,1,NA,NA),pch=c(NA,NA,NA,19,19),legend=c(expression(X[t]),expression(Y[t]),expression(S(t)),expression(tau[X[S(t)]]),expression(tau[Y[S(t)]])),cex=0.8,inset = .01)
169+
box()
170+
171+
denM <- dfptsde2d(fpt2d, pdf = 'M')
172+
print(denM)
173+
plot(denM)
174+
plot(denM, hist=TRUE)
175+
176+
denJ <- dfptsde2d(fpt2d, pdf = 'J',n=100)
177+
print(denJ)
178+
plot(denJ,display="contour",main="Bivariate Density of F.P.T",xlab=expression(tau[x]),ylab=expression(tau[y]))
179+
plot(denJ,display="image",main="Bivariate Density of F.P.T",xlab=expression(tau[x]),ylab=expression(tau[y]))
180+
plot(denJ,display="persp",main="Bivariate Density of F.P.T",xlab=expression(tau[x]),ylab=expression(tau[y]))
181+
182+
## -------------------------------------------------------------------
183+
96184
fx <- expression(4*(-1-x)*y , 4*(1-y)*x , 4*(1-z)*y)
97185
gx <- rep(expression(0.2),3)
98186
mod3d <- snssde3d(drift=fx,diffusion=gx,x0=c(x=2,y=-2,z=0),M=20)
@@ -136,6 +224,55 @@ print(denM)
136224
plot(denM)
137225
plot(denM,hist=TRUE)
138226

227+
denJ <- dfptsde3d(fpt3d,pdf="J")
228+
print(denJ)
229+
plot(denJ,display="rgl")
230+
231+
## -------------------------------------------------------------------
232+
233+
fx <- expression(4*(1-x)*y , 4*(1-y)*x , 4*(1-z)*y)
234+
gx <- rep(expression(0.2),3)
235+
mod3d <- snssde3d(drift=fx,diffusion=gx,x0=c(x=-2,y=2,z=-2),M=20,type="str")
236+
237+
St <- expression(-1.5+3*t)
238+
fpt3d <- fptsde3d(mod3d, boundary = St)
239+
print(fpt3d)
240+
head(fpt3d$fpt, n = 4)
241+
242+
mean(fpt3d)
243+
moment(fpt3d , center = TRUE , order = 2) ## variance
244+
Median(fpt3d)
245+
Mode(fpt3d)
246+
quantile(fpt3d)
247+
kurtosis(fpt3d)
248+
skewness(fpt3d)
249+
cv(fpt3d)
250+
min(fpt3d)
251+
max(fpt3d)
252+
moment(fpt3d , center= TRUE , order = 4)
253+
moment(fpt3d , center= FALSE , order = 4)
254+
255+
summary(fpt3d)
256+
257+
plot(ts.union(mod3d$X[,1],mod3d$Y[,1],mod3d$Z[,1]),col=1:3,lty=3,plot.type="single",type="l",ylab="",xlab="time",axes=F)
258+
curve(-1.5+3*x,add=TRUE,col=4)
259+
points(fpt3d$fpt$x[1],-1.5+3*fpt3d$fpt$x[1],pch=19,col=5,cex=0.5)
260+
lines(c(fpt3d$fpt$x[1],fpt3d$fpt$x[1]),c(-1.5+3*fpt3d$fpt$x[1],-10),lty=2,col=5)
261+
axis(1, fpt3d$fpt$x[1], bquote(tau[X[S(t)]]==.(fpt3d$fpt$x[1])),col=5,col.ticks=5)
262+
points(fpt3d$fpt$y[1],-1.5+3*fpt3d$fpt$y[1],pch=19,col=6,cex=0.5)
263+
lines(c(fpt3d$fpt$y[1],fpt3d$fpt$y[1]),c(-1.5+3*fpt3d$fpt$y[1],-10),lty=2,col=6)
264+
axis(1, fpt3d$fpt$y[1], bquote(tau[Y[S(t)]]==.(fpt3d$fpt$y[1])),col=6,col.ticks=6)
265+
points(fpt3d$fpt$z[1],-1.5+3*fpt3d$fpt$z[1],pch=19,col=7,cex=0.5)
266+
lines(c(fpt3d$fpt$z[1],fpt3d$fpt$z[1]),c(-1.5+3*fpt3d$fpt$z[1],-10),lty=2,col=7)
267+
axis(1, fpt3d$fpt$z[1], bquote(tau[Z[S(t)]]==.(fpt3d$fpt$z[1])),col=7,col.ticks=7)
268+
legend('topright',col=1:7,lty=c(1,1,1,1,NA,NA,NA),pch=c(NA,NA,NA,NA,19,19,19),legend=c(expression(X[t]),expression(Y[t]),expression(Z[t]),expression(S(t)),expression(tau[X[S(t)]]),expression(tau[Y[S(t)]]),expression(tau[Z[S(t)]])),cex=0.8,inset = .01)
269+
box()
270+
271+
denM <- dfptsde3d(fpt3d, pdf = "M")
272+
print(denM)
273+
plot(denM)
274+
plot(denM,hist=TRUE)
275+
139276
denJ <- dfptsde3d(fpt3d,pdf="J")
140277
print(denJ)
141278
plot(denJ,display="rgl")

‎tests/rsde_test.R‎

Lines changed: 22 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -2,6 +2,12 @@ options(prompt="R> ",scipen=16,digits=4,warning=FALSE, message=FALSE)
22
library(Sim.DiffProc)
33

44

5+
f <- expression(0)
6+
g <- expression(1)
7+
res1 <- snssde1d(drift=f,diffusion=g,M=1)
8+
x <- rsde1d(res1, at = 1)
9+
x <- rsde1d(res1, at = 0.02154)
10+
511
#####1d
612

713
f <- expression(0)
@@ -22,6 +28,14 @@ plot(dsde1d(res1, at = 0.02154),dens=function(x) dnorm(x,0,sqrt(0.02154)),hist=T
2228
## 2-dim SDE
2329
set.seed(1234)
2430

31+
fx <- expression(3*(2-y),2*x)
32+
gx <- expression(1,y)
33+
mod2d <- snssde2d(drift=fx,diffusion=gx,x0=c(1,2),M=1)
34+
35+
# random
36+
r2d <- rsde2d(mod2d,at=0.5)
37+
r2d <- rsde2d(mod2d,at=0.51475)
38+
2539
# SDE's 2d
2640
fx <- expression(3*(2-y),2*x)
2741
gx <- expression(1,y)
@@ -55,6 +69,14 @@ plot(denJ,display="image")
5569

5670
######## 3d
5771

72+
fx <- expression(4*(-1-x)*y, 4*(1-y)*x, 4*(1-z)*y)
73+
gx <- rep(expression(0.2),3)
74+
mod3d <- snssde3d(drift=fx,diffusion=gx,x0=c(1,2,1),M=1)
75+
76+
# random
77+
r3d <- rsde3d(mod3d ,at=0.5)
78+
r3d <- rsde3d(mod3d ,at=0.51475)
79+
5880
fx <- expression(4*(-1-x)*y, 4*(1-y)*x, 4*(1-z)*y)
5981
gx <- rep(expression(0.2),3)
6082
mod3d <- snssde3d(drift=fx,diffusion=gx,x0=c(1,2,1),M=10)

‎tests/snssde_test.R‎

Lines changed: 30 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -1,5 +1,5 @@
11
options(prompt="R> ",scipen=16,digits=4,warning=FALSE, message=FALSE)
2-
library(Sim.DiffProc)
2+
library(Sim.DiffProc)
33

44

55
meth <- eval(formals(snssde1d.default)$method)
@@ -176,6 +176,16 @@ plot(mod1,type="n")
176176
lines(mod1,col=2)
177177
points(mod1,cex=0.1,pch=19)
178178

179+
mean(mod1)
180+
moment(mod1, center = TRUE , order = 2) ## variance
181+
Median(mod1)
182+
quantile(mod1)
183+
kurtosis(mod1)
184+
skewness(mod1)
185+
cv(mod1)
186+
min(mod1)
187+
max(mod1)
188+
179189

180190
####
181191

@@ -189,6 +199,16 @@ lines(mod2,col=2)
189199
points(mod2,cex=0.1,pch=19)
190200
plot2d(mod2)
191201

202+
mean(mod2)
203+
moment(mod2, center = TRUE , order = 2) ## variance
204+
Median(mod2)
205+
quantile(mod2)
206+
kurtosis(mod2)
207+
skewness(mod2)
208+
cv(mod2)
209+
min(mod2)
210+
max(mod2)
211+
192212
####
193213

194214
fx <- expression(4*(-1-x), 4*(1-y), 4*(1-z))
@@ -201,6 +221,14 @@ lines(mod3,col=2)
201221
points(mod3,cex=0.1,pch=19)
202222
plot3D(mod3,display="rgl")
203223

204-
224+
mean(mod3)
225+
moment(mod3, center = TRUE , order = 2) ## variance
226+
Median(mod3)
227+
quantile(mod3)
228+
kurtosis(mod3)
229+
skewness(mod3)
230+
cv(mod3)
231+
min(mod3)
232+
max(mod3)
205233

206234

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