root/bdm/estim/arx.h @ 286

/*!
  \file
  \brief Bayesian Filtering for generalized autoregressive (ARX) model
  \author Vaclav Smidl.

  -----------------------------------
  BDM++ - C++ library for Bayesian Decision Making under Uncertainty

  Using IT++ for numerical operations
  -----------------------------------
*/

#ifndef AR_H
#define AR_H

#include "../stat/libFN.h"
#include "../stat/libEF.h"

namespace bdm {

/*!
* \brief Linear Autoregressive model with Gaussian noise

Regression of the following kind:
\f[
y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t
\f]
where unknown parameters \c rv are \f$[\theta r]\f$, regression vector \f$\psi=\psi(y_{1:t},u_{1:t})\f$ is a known function of past outputs and exogeneous variables \f$u_t\f$. Distrubances \f$e_t\f$ are supposed to be normally distributed:
\f[
e_t \sim \mathcal{N}(0,1).
\f]

See \ref tut_arx for mathematical treatment.

The easiest way how to use the class is:
\include arx_simple.cpp

*/
class ARX: public BMEF {
protected:
        //!size of output variable (needed in regressors)
        int dimx;
        //!description of modelled data \f$ y_t \f$ in the likelihood function
        //! Do NOT access directly, only via \c get_yrv().
        RV _yrv;
        //! Posterior estimate of \f$\theta,r\f$ in the form of Normal-inverse Wishart density
        egiw est;
        //! cached value of est.V
        ldmat &V;
        //! cached value of est.nu
        double ν
public:
        //! \name Constructors
        //!@{
        ARX ( const double frg0=1.0 ) : BMEF ( frg0 ),est (), V ( est._V() ), nu ( est._nu() ) {};
        ARX ( const ARX &A0 ) : BMEF (),est (), V ( est._V() ), nu ( est._nu() ) {
                set_statistics ( A0.dimx,A0.V,A0.nu );
                set_parameters(A0.frg);
        };
        ARX* _copy_() const;
        void set_parameters ( double frg0 ) {frg=frg0;}
        void set_statistics ( int dimx0, const ldmat V0, double nu0=-1.0 ) {est.set_parameters ( dimx0,V0,nu0 );last_lognc=est.lognc();dimx=dimx0;}
        //!@}

//      //! Set parameters given by moments, \c mu (mean of theta), \c R (mean of R) and \c C (variance of theta)
//      void set_parameters ( const vec &mu, const mat &R, const mat &C, double dfm){};
        //! Set sufficient statistics
        void set_statistics ( const BMEF* BM0 );
//      //! Returns sufficient statistics
//      void get_parameters ( mat &V0, double &nu0 ) {V0=est._V().to_mat(); nu0=est._nu();}
        //!\name Mathematical operations
        //!@{

        //! Weighted Bayes \f$ dt = [y_t psi_t] \f$.
        void bayes ( const vec &dt, const double w );
        void bayes ( const vec &dt ) {bayes ( dt,1.0 );};
        double logpred ( const vec &dt ) const;
        void flatten ( const BMEF* B ) {
                const ARX* A=dynamic_cast<const ARX*> ( B );
                // nu should be equal to B.nu
                est.pow ( A->nu/nu );
                if ( evalll ) {last_lognc=est.lognc();}
        }
        //! Conditioned version of the predictor
        enorm<ldmat>* epredictor ( const vec &rgr ) const;
        //! Predictor for empty regressor
        enorm<ldmat>* epredictor() const {
                it_assert_debug ( dimx==V.rows()-1,"Regressor is not only 1" );
                return epredictor ( vec_1 ( 1.0 ) );
        }
        //! conditional version of the predictor
        mlnorm<ldmat>* predictor() const;
        mlstudent* predictor_student() const;
        //! Brute force structure estimation.\return indeces of accepted regressors.
        ivec structure_est ( egiw Eg0 );
        //!@}

        //!\name Access attributes
        //!@{
        const egiw* _e() const {return &est ;};
        const egiw& posterior() const {return est;}
        //!@}

        //!\name Connection
        //!@{
        void set_drv ( const RV &drv0 ) {drv=drv0;}
        RV& get_yrv() {
                //if yrv is not ready create it
                if ( _yrv._dsize() !=dimx ) {
                        int i=0;
                        while ( _yrv._dsize() <dimx ) {_yrv.add ( drv ( vec_1 ( i ) ) );i++;}
                }
                //yrv should be ready by now
                it_assert_debug ( _yrv._dsize() ==dimx,"incompatible drv" );
                return _yrv;
        }
        //!@}
};

}

#endif // AR_H