[934] | 1 | clear all |
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[758] | 2 | % name random variables |
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| 3 | y = RV({'y'},1); |
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| 4 | u1 = RV({'u1'},1); |
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| 5 | u2 = RV({'u2'},1); |
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| 6 | |
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| 7 | % create f(y_t| y_{t-3}, u_{t-1}) |
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| 8 | fy.class = 'mlnorm<ldmat>'; |
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| 9 | fy.rv = y; |
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| 10 | fy.rvc = RVtimes([y,u1,u2], [-3, 0, 0]); |
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| 11 | fy.A = [0.5, -0.9, 0.9]; |
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| 12 | fy.const = 0; |
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| 13 | fy.R = 1e-2; |
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| 14 | |
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| 15 | fu.class = 'enorm<ldmat>'; |
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| 16 | fu.rv = RVjoin([u1,u2]); |
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| 17 | fu.mu = [0,0]; |
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| 18 | fu.R = 0.1*eye(2); |
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| 19 | |
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| 20 | f.class = 'mprod'; |
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| 21 | f.pdfs = {fy,fu}; |
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| 22 | |
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| 23 | DS.class = 'PdfDS'; |
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| 24 | DS.pdf = f; |
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| 25 | |
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| 26 | % create ARX estimator |
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| 27 | A1.class = 'ARX'; |
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| 28 | A1.rv = y; |
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| 29 | A1.rgr = RVtimes([y,u1],[-3,0]) ; % correct structure is {y,y} |
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[933] | 30 | A1.log_level ='logbounds,logevidence'; |
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[758] | 31 | A1.frg = 0.95; |
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| 32 | A1.constant = 0; |
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| 33 | |
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| 34 | A2=A1; |
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| 35 | A2.rgr = RVtimes([y,u2],[-3,0]) ; % correct structure is {y,y} |
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| 36 | |
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| 37 | M=estimator(DS,{A1,A2},struct('ndat',100)); |
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| 38 | |
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| 39 | %%%%%%%%%%%%%%%%%%%%%%%%%%%%%% |
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| 40 | % plot results |
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[933] | 41 | ndat = size(M.DS_dt_u1,1); |
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[758] | 42 | |
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| 43 | true_theta1 = fy.A([1,2]); |
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| 44 | true_theta2 = fy.A([1,3]); |
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| 45 | true_R = fy.R; |
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| 46 | |
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| 47 | figure(1); |
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| 48 | subplot(2,1,1); |
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[933] | 49 | plot(M.DS_dt_y); |
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[758] | 50 | title('Output'); |
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| 51 | |
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| 52 | subplot(2,1,2); |
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[933] | 53 | plot(M.DS_dt_u1); |
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[758] | 54 | hold on |
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[933] | 55 | plot(M.DS_dt_u2); |
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[758] | 56 | title('Input'); |
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| 57 | |
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| 58 | |
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| 59 | figure(2) |
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| 60 | hold off; |
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| 61 | subplot(2,2,1); |
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| 62 | hold off |
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| 63 | plotestimates(true_theta1, ... |
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| 64 | M.Est0_apost_mean_theta, ... |
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[933] | 65 | M.Est0_apost_lbound_theta, ... |
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| 66 | M.Est0_apost_ubound_theta); |
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[758] | 67 | set(gca,'YLim',[-1.5,1]); |
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| 68 | |
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| 69 | subplot(2,2,2); |
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| 70 | hold off |
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| 71 | plotestimates(true_R, ... |
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| 72 | M.Est0_apost_mean_r, ... |
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[933] | 73 | M.Est0_apost_lbound_r, ... |
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| 74 | M.Est0_apost_ubound_r); |
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[758] | 75 | |
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| 76 | title('Variance parameters r') |
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| 77 | |
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| 78 | subplot(2,2,3); |
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| 79 | hold off |
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| 80 | plotestimates(true_theta2, ... |
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| 81 | M.Est1_apost_mean_theta, ... |
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[933] | 82 | M.Est1_apost_lbound_theta, ... |
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| 83 | M.Est1_apost_ubound_theta); |
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[758] | 84 | set(gca,'YLim',[-1.5,1]); |
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| 85 | |
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| 86 | subplot(2,2,4); |
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| 87 | hold off |
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| 88 | plotestimates(true_R, ... |
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| 89 | M.Est1_apost_mean_r, ... |
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[933] | 90 | M.Est1_apost_lbound_r, ... |
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| 91 | M.Est1_apost_ubound_r); |
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[758] | 92 | |
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| 93 | title('Variance parameters r') |
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