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Modifications of BDM to reflect changes in basics

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17<h1>work/git/mixpp/bdm/estim/arx.h</h1><a href="arx_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001
18<a name="l00013"></a>00013 <span class="preprocessor">#ifndef AR_H</span>
19<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define AR_H</span>
20<a name="l00015"></a>00015 <span class="preprocessor"></span>
21<a name="l00016"></a>00016 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span>
22<a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/libFN.h"</span>
23<a name="l00018"></a>00018 <span class="preprocessor">#include "../stat/libEF.h"</span>
24<a name="l00019"></a>00019
25<a name="l00020"></a>00020 <span class="keyword">using namespace </span>itpp;
26<a name="l00021"></a>00021
27<a name="l00036"></a><a class="code" href="classARX.html">00036</a> <span class="keyword">class </span><a class="code" href="classARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>: <span class="keyword">public</span> <a class="code" href="classBMEF.html" title="Estimator for Exponential family.">BMEF</a> {
28<a name="l00037"></a>00037 <span class="keyword">protected</span>:
29<a name="l00039"></a><a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e">00039</a>         <a class="code" href="classegiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>;
30<a name="l00041"></a><a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7">00041</a>         <a class="code" href="classldmat.html" title="Matrix stored in LD form, (typically known as UD).">ldmat</a> &amp;<a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7" title="cached value of est.V">V</a>;
31<a name="l00043"></a><a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be">00043</a>         <span class="keywordtype">double</span> &amp;<a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a>;
32<a name="l00044"></a>00044 <span class="keyword">public</span>:
33<a name="l00046"></a><a class="code" href="classARX.html#545e269bf7852c81484cf361b54d9917">00046</a>         <a class="code" href="classARX.html#545e269bf7852c81484cf361b54d9917" title="Full constructor.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classRV.html" title="Class representing variables, most often random variables.">RV</a> &amp;<a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>, <span class="keyword">const</span> mat &amp;V0, <span class="keyword">const</span> <span class="keywordtype">double</span> &amp;nu0, <span class="keyword">const</span> <span class="keywordtype">double</span> frg0=1.0 ) : <a class="code" href="classBMEF.html" title="Estimator for Exponential family.">BMEF</a> ( rv,frg0 ),<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> ( rv,V0,nu0 ), <a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7" title="cached value of est.V">V</a> ( <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a> ( <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() )
34<a name="l00047"></a>00047         {<a class="code" href="classBMEF.html#308cf5d4133cd471fdf1ecd5dfa09d02" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#70eb1a0b88459b227f919b425b0d3359" title="logarithm of the normalizing constant, ">lognc</a>();};
35<a name="l00048"></a>00048
36<a name="l00050"></a><a class="code" href="classARX.html#a5358883a49b52f50755ad8770c2bbdb">00050</a>         <a class="code" href="classARX.html#545e269bf7852c81484cf361b54d9917" title="Full constructor.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> &amp;A0 ) : <a class="code" href="classBMEF.html" title="Estimator for Exponential family.">BMEF</a> ( A0),<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> ( <a class="code" href="classBM.html#af00f0612fabe66241dd507188cdbf88" title="Random variable of the posterior.">rv</a>,A0.<a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7" title="cached value of est.V">V</a>,A0.<a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a> ), <a class="code" href="classARX.html#2291297861dd74ca0175a01f910a0ef7" title="cached value of est.V">V</a> ( <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a> ( <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() ) {};
37<a name="l00051"></a>00051
38<a name="l00053"></a>00053         <a class="code" href="classARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* <a class="code" href="classARX.html#5de61fbd4f97fa3216760b1f733f5af0" title="Auxiliary function.">_copy_</a>(<span class="keywordtype">bool</span> changerv=<span class="keyword">false</span>);
39<a name="l00054"></a>00054         
40<a name="l00055"></a>00055 <span class="comment">//      //! Set parameters given by moments, \c mu (mean of theta), \c R (mean of R) and \c C (variance of theta)</span>
41<a name="l00056"></a>00056 <span class="comment">//      void set_parameters ( const vec &amp;mu, const mat &amp;R, const mat &amp;C, double dfm){};</span>
42<a name="l00058"></a><a class="code" href="classARX.html#bc8c36399e82b2fc504baed845ed2007">00058</a> <span class="comment"></span>        <span class="keywordtype">void</span> <a class="code" href="classARX.html#bc8c36399e82b2fc504baed845ed2007" title="Set sufficient statistics.">set_parameters</a> ( <span class="keyword">const</span> <a class="code" href="classldmat.html" title="Matrix stored in LD form, (typically known as UD).">ldmat</a> &amp;V0, <span class="keyword">const</span> <span class="keywordtype">double</span> &amp;nu0 )
43<a name="l00059"></a>00059         {<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#533e792e1175bfa06d5d595dc5d080d5" title="returns a pointer to the internal statistics. Use with Care!">_V</a>() =V0;<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#08029c481ff95d24f093df0573879afe" title="returns a pointer to the internal statistics. Use with Care!">_nu</a>() =nu0;<a class="code" href="classBMEF.html#308cf5d4133cd471fdf1ecd5dfa09d02" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#70eb1a0b88459b227f919b425b0d3359" title="logarithm of the normalizing constant, ">lognc</a>();}
44<a name="l00060"></a>00060         <span class="keywordtype">void</span> <a class="code" href="classARX.html#26925d66dfc366815c497d67b62ee49c" title="get statistics from another model">set_statistics</a> ( <span class="keyword">const</span> <a class="code" href="classBMEF.html" title="Estimator for Exponential family.">BMEF</a>* BM0 );
45<a name="l00062"></a><a class="code" href="classARX.html#29f55b43b8b6f5c4a55f6176aa85c494">00062</a>         <span class="keywordtype">void</span> <a class="code" href="classARX.html#29f55b43b8b6f5c4a55f6176aa85c494" title="Returns sufficient statistics.">get_parameters</a> ( mat &amp;V0, <span class="keywordtype">double</span> &amp;nu0 ) {V0=<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#533e792e1175bfa06d5d595dc5d080d5" title="returns a pointer to the internal statistics. Use with Care!">_V</a>().<a class="code" href="classldmat.html#2c1ebc071de4bafbba55b80afd8a7e8e" title="Conversion to full matrix.">to_mat</a>(); nu0=<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#08029c481ff95d24f093df0573879afe" title="returns a pointer to the internal statistics. Use with Care!">_nu</a>();}
46<a name="l00064"></a>00064         <span class="keywordtype">void</span> <a class="code" href="classARX.html#14d62abfe355275ea3b8d0c5d40f01a0" title="Here .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt, <span class="keyword">const</span> <span class="keywordtype">double</span> w );
47<a name="l00065"></a><a class="code" href="classARX.html#ba82c956ca893826811aefe1e4af465d">00065</a>         <span class="keywordtype">void</span> <a class="code" href="classARX.html#14d62abfe355275ea3b8d0c5d40f01a0" title="Here .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) {<a class="code" href="classARX.html#14d62abfe355275ea3b8d0c5d40f01a0" title="Here .">bayes</a> ( dt,1.0 );};
48<a name="l00066"></a><a class="code" href="classARX.html#c13df43e0af87697fda6b457d56a6d45">00066</a>         <span class="keyword">const</span> <a class="code" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classARX.html#c13df43e0af87697fda6b457d56a6d45" title="Returns a pointer to the epdf representing posterior density on parameters. Use with...">_epdf</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>;}
49<a name="l00067"></a>00067         <span class="keywordtype">double</span> <a class="code" href="classARX.html#e7f9e7823aec9bf7ddc3b42d9b3304c4">logpred</a> ( <span class="keyword">const</span> vec &amp;dt ) <span class="keyword">const</span>;
50<a name="l00068"></a><a class="code" href="classARX.html#365092d4fd1ab769fcf62bf28f364fab">00068</a>         <span class="keywordtype">void</span> <a class="code" href="classARX.html#365092d4fd1ab769fcf62bf28f364fab" title="Flatten the posterior.">flatten</a> (<a class="code" href="classBMEF.html" title="Estimator for Exponential family.">BMEF</a>* B ) {
51<a name="l00069"></a>00069                 <a class="code" href="classARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* A=<span class="keyword">dynamic_cast&lt;</span><a class="code" href="classARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>*<span class="keyword">&gt;</span>(B);
52<a name="l00070"></a>00070                 <span class="comment">// nu should be equal to B.nu</span>
53<a name="l00071"></a>00071                 <a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#036306322a90a9977834baac07460816" title="Power of the density, used e.g. to flatten the density.">pow</a> ( A-&gt;<a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a>/<a class="code" href="classARX.html#a4182c281098b2d86b62518a7493d9be" title="cached value of est.nu">nu</a>);
54<a name="l00072"></a>00072                 <span class="keywordflow">if</span>(<a class="code" href="classBM.html#bf6fb59b30141074f8ee1e2f43d03129" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>){<a class="code" href="classBMEF.html#308cf5d4133cd471fdf1ecd5dfa09d02" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classARX.html#691d023662beffa1dda611b416c0e27e" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classegiw.html#70eb1a0b88459b227f919b425b0d3359" title="logarithm of the normalizing constant, ">lognc</a>();}
55<a name="l00073"></a>00073         }
56<a name="l00074"></a>00074
57<a name="l00076"></a>00076         ivec <a class="code" href="classARX.html#130bb7336aac681ce14b027b8f1409fa" title="Brute force structure estimation.">structure_est</a> ( <a class="code" href="classegiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0 );
58<a name="l00077"></a>00077 };
59<a name="l00078"></a>00078
60<a name="l00079"></a>00079
61<a name="l00080"></a>00080 <span class="preprocessor">#endif // AR_H</span>
62<a name="l00081"></a>00081 <span class="preprocessor"></span>
63<a name="l00082"></a>00082
64</pre></div></div>
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