1 | #include "arx.h" |
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2 | |
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3 | using namespace itpp; |
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4 | |
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5 | void ARX::bayes ( const vec &dt, const double w ) { |
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6 | double lnc; |
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7 | |
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8 | if ( frg<1.0 ) { |
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9 | est.pow ( frg ); |
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10 | if ( evalll ) { |
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11 | last_lognc = est.lognc(); |
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12 | } |
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13 | } |
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14 | V.opupdt ( dt,w ); |
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15 | nu+=w; |
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16 | |
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17 | if ( evalll ) { |
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18 | lnc = est.lognc(); |
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19 | ll = lnc - last_lognc; |
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20 | last_lognc = lnc; |
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21 | } |
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22 | } |
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23 | |
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24 | double ARX::logpred ( const vec &dt ) const { |
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25 | egiw pred ( est ); |
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26 | ldmat &V=pred._V(); |
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27 | double &nu=pred._nu(); |
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28 | |
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29 | double lll; |
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30 | |
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31 | if ( frg<1.0 ) { |
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32 | pred.pow ( frg ); |
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33 | lll = pred.lognc(); |
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34 | } |
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35 | else |
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36 | if ( evalll ) {lll=last_lognc;} |
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37 | else{lll=pred.lognc();} |
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38 | |
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39 | V.opupdt ( dt,1.0 ); |
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40 | nu+=1.0; |
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41 | |
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42 | return pred.lognc()-lll; |
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43 | } |
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44 | |
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45 | ARX* ARX::_copy_ ( bool changerv ) { |
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46 | ARX* Tmp=new ARX ( *this ); |
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47 | if ( changerv ) {Tmp->rv.newids(); Tmp->est._renewrv ( Tmp->rv );} |
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48 | return Tmp; |
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49 | } |
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50 | |
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51 | void ARX::set_statistics ( const BMEF* B0 ) { |
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52 | const ARX* A0=dynamic_cast<const ARX*> ( B0 ); |
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53 | |
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54 | it_assert_debug ( V.rows() ==A0->V.rows(),"ARX::set_statistics Statistics differ" ); |
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55 | set_parameters ( A0->V,A0->nu ); |
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56 | } |
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57 | |
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58 | enorm<ldmat>* ARX::predictor ( const RV &rv, const vec &rgr ) const { |
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59 | mat mu ( rv.count(), V.rows()-rv.count() ); |
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60 | mat R ( rv.count(),rv.count() ); |
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61 | enorm<ldmat>* tmp; |
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62 | tmp=new enorm<ldmat> ( rv ); |
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63 | |
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64 | est.mean_mat ( mu,R ); //mu = |
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65 | //correction for student-t -- TODO check if correct!! |
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66 | //R*=nu/(nu-2); |
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67 | mat p_mu=mu.T() *rgr; //the result is one column |
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68 | tmp->set_parameters ( p_mu.get_col ( 0 ),ldmat ( R ) ); |
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69 | return tmp; |
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70 | } |
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71 | |
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72 | mlnorm<ldmat>* ARX::predictor ( const RV &rv, const RV &rvc ) const { |
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73 | int dif=V.rows() - rv.count() - rvc.count(); |
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74 | it_assert_debug ( ( dif==0 ) || ( dif==1 ), "Give RVs do not match" ); |
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75 | |
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76 | mat mu ( rv.count(), V.rows()-rv.count() ); |
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77 | mat R ( rv.count(),rv.count() ); |
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78 | mlnorm<ldmat>* tmp; |
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79 | tmp=new mlnorm<ldmat> ( rv,rvc ); |
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80 | |
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81 | est.mean_mat ( mu,R ); //mu = |
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82 | mu = mu.T(); |
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83 | //correction for student-t -- TODO check if correct!! |
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84 | |
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85 | if ( dif==0 ) { // no constant term |
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86 | tmp->set_parameters ( mu, zeros ( rv.count() ), ldmat ( R ) ); |
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87 | } |
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88 | else { |
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89 | //Assume the constant term is the last one: |
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90 | tmp->set_parameters ( mu.get_cols (0,mu.cols()-2 ), mu.get_col ( mu.cols()-1 ), ldmat ( R ) ); |
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91 | } |
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92 | return tmp; |
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93 | } |
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94 | |
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95 | mlstudent* ARX::predictor_student ( const RV &rv, const RV &rvc ) const { |
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96 | int dif=V.rows() - rv.count() - rvc.count(); |
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97 | it_assert_debug ( ( dif==0 ) || ( dif==1 ), "Give RVs do not match" ); |
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98 | |
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99 | mat mu ( rv.count(), V.rows()-rv.count() ); |
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100 | mat R ( rv.count(),rv.count() ); |
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101 | mlstudent* tmp; |
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102 | tmp=new mlstudent ( rv,rvc ); |
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103 | |
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104 | est.mean_mat ( mu,R ); // |
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105 | mu = mu.T(); |
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106 | |
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107 | int xdim = rv.count(); |
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108 | int end = V._L().rows()-1; |
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109 | ldmat Lam ( V._L() ( xdim,end,xdim,end ), V._D() ( xdim,end ) ); //exp val of R |
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110 | |
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111 | |
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112 | if ( dif==0 ) { // no constant term |
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113 | tmp->set_parameters ( mu, zeros ( rv.count() ), ldmat ( R ), Lam); |
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114 | } |
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115 | else { |
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116 | //Assume the constant term is the last one: |
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117 | tmp->set_parameters ( mu.get_cols (0,mu.cols()-2 ), mu.get_col ( mu.cols()-1 ), ldmat ( R ), Lam); |
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118 | } |
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119 | return tmp; |
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120 | } |
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121 | |
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122 | /*! \brief Return the best structure |
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123 | @param Eg a copy of GiW density that is being examined |
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124 | @param Eg0 a copy of prior GiW density before estimation |
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125 | @param Egll likelihood of the current Eg |
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126 | @param indeces current indeces |
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127 | \return best likelihood in the structure below the given one |
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128 | */ |
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129 | double egiw_bestbelow ( egiw Eg, egiw Eg0, double Egll, ivec &indeces ) { //parameter Eg is a copy! |
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130 | ldmat Vo = Eg._V(); //copy |
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131 | ldmat Vo0 = Eg._V(); //copy |
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132 | ldmat& Vp = Eg._V(); // pointer into Eg |
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133 | ldmat& Vp0 = Eg._V(); // pointer into Eg |
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134 | int end = Vp.rows()-1; |
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135 | int i; |
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136 | mat Li; |
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137 | mat Li0; |
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138 | double maxll=Egll; |
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139 | double tmpll=Egll; |
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140 | double belll=Egll; |
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141 | |
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142 | ivec tmpindeces; |
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143 | ivec maxindeces=indeces; |
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144 | |
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145 | |
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146 | cout << "bb:(" << indeces <<") ll=" << Egll <<endl; |
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147 | |
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148 | //try to remove only one rv |
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149 | for ( i=0;i<end;i++ ) { |
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150 | //copy original |
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151 | Li = Vo._L(); |
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152 | Li0 = Vo0._L(); |
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153 | //remove stuff |
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154 | Li.del_col ( i+1 ); |
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155 | Li0.del_col ( i+1 ); |
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156 | Vp.ldform ( Li,Vo._D() ); |
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157 | Vp0.ldform ( Li0,Vo0._D() ); |
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158 | tmpll = Eg.lognc()-Eg0.lognc(); // likelihood is difference of norm. coefs. |
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159 | |
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160 | cout << "i=(" << i <<") ll=" << tmpll <<endl; |
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161 | |
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162 | // |
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163 | if ( tmpll > Egll ) { //increase of the likelihood |
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164 | tmpindeces = indeces; |
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165 | tmpindeces.del ( i ); |
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166 | //search for a better match in this substructure |
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167 | belll=egiw_bestbelow ( Eg, Eg0, tmpll, tmpindeces ); |
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168 | if ( belll>maxll ) { //better match found |
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169 | maxll = belll; |
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170 | maxindeces = tmpindeces; |
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171 | } |
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172 | } |
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173 | } |
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174 | indeces = maxindeces; |
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175 | return maxll; |
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176 | } |
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177 | |
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178 | ivec ARX::structure_est ( egiw est0 ) { |
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179 | ivec ind=linspace ( 1,rv.count()-1 ); |
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180 | egiw_bestbelow ( est, est0, est.lognc()- est0.lognc(), ind ); |
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181 | return ind; |
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182 | } |
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