root/doc/html/classbdm_1_1ARX.html @ 290

Revision 290, 31.8 kB (checked in by smidl, 16 years ago)

correction of ARX tutorial

RevLine 
[259]1<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
2<html><head><meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
3<title>mixpp: bdm::ARX Class Reference</title>
4<link href="tabs.css" rel="stylesheet" type="text/css">
[290]5<link href="doxygen.css" rel="stylesheet" type="text/css">
[259]6</head><body>
[290]7<!-- Generated by Doxygen 1.5.8 -->
[271]8<script type="text/javascript">
9<!--
10function changeDisplayState (e){
11  var num=this.id.replace(/[^[0-9]/g,'');
12  var button=this.firstChild;
13  var sectionDiv=document.getElementById('dynsection'+num);
14  if (sectionDiv.style.display=='none'||sectionDiv.style.display==''){
15    sectionDiv.style.display='block';
16    button.src='open.gif';
17  }else{
18    sectionDiv.style.display='none';
19    button.src='closed.gif';
20  }
21}
22function initDynSections(){
23  var divs=document.getElementsByTagName('div');
24  var sectionCounter=1;
25  for(var i=0;i<divs.length-1;i++){
26    if(divs[i].className=='dynheader'&&divs[i+1].className=='dynsection'){
27      var header=divs[i];
28      var section=divs[i+1];
29      var button=header.firstChild;
30      if (button!='IMG'){
31        divs[i].insertBefore(document.createTextNode(' '),divs[i].firstChild);
32        button=document.createElement('img');
33        divs[i].insertBefore(button,divs[i].firstChild);
34      }
35      header.style.cursor='pointer';
36      header.onclick=changeDisplayState;
37      header.id='dynheader'+sectionCounter;
38      button.src='closed.gif';
39      section.id='dynsection'+sectionCounter;
40      section.style.display='none';
41      section.style.marginLeft='14px';
42      sectionCounter++;
43    }
44  }
45}
46window.onload = initDynSections;
47-->
48</script>
[259]49<div class="navigation" id="top">
50  <div class="tabs">
51    <ul>
[271]52      <li><a href="main.html"><span>Main&nbsp;Page</span></a></li>
[259]53      <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
54      <li><a href="modules.html"><span>Modules</span></a></li>
[290]55      <li class="current"><a href="annotated.html"><span>Classes</span></a></li>
[259]56      <li><a href="files.html"><span>Files</span></a></li>
57    </ul>
58  </div>
59  <div class="tabs">
60    <ul>
61      <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
[290]62      <li><a href="classes.html"><span>Class&nbsp;Index</span></a></li>
[259]63      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
64      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
65    </ul>
66  </div>
[271]67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1ARX.html">ARX</a>
[259]68  </div>
69</div>
70<div class="contents">
[290]71<h1>bdm::ARX Class Reference</h1><!-- doxytag: class="bdm::ARX" --><!-- doxytag: inherits="bdm::BMEF" -->Linear Autoregressive model with Gaussian noise. 
72<a href="#_details">More...</a>
[259]73<p>
[290]74<code>#include &lt;<a class="el" href="arx_8h-source.html">arx.h</a>&gt;</code>
75<p>
[259]76
77<p>
[290]78<a href="classbdm_1_1ARX-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
[259]79<tr><td></td></tr>
80<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[271]81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="539f9d0127423c94b912708d390e67b8"></a><!-- doxytag: member="bdm::ARX::set_statistics" ref="539f9d0127423c94b912708d390e67b8" args="(const BMEF *BM0)" -->
82void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#539f9d0127423c94b912708d390e67b8">set_statistics</a> (const <a class="el" href="classbdm_1_1BMEF.html">BMEF</a> *BM0)</td></tr>
83
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set sufficient statistics. <br></td></tr>
85<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
[270]86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="43ed6114f04a3a8756fe2b42eaa35f98"></a><!-- doxytag: member="bdm::ARX::ARX" ref="43ed6114f04a3a8756fe2b42eaa35f98" args="(const double frg0=1.0)" -->
[271]87&nbsp;</td><td class="memItemRight" valign="bottom"><b>ARX</b> (const double frg0=1.0)</td></tr>
[259]88
89<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="73a55a3d66bfbeeee4df6c2ae40920ed"></a><!-- doxytag: member="bdm::ARX::ARX" ref="73a55a3d66bfbeeee4df6c2ae40920ed" args="(const ARX &amp;A0)" -->
[271]90&nbsp;</td><td class="memItemRight" valign="bottom"><b>ARX</b> (const <a class="el" href="classbdm_1_1ARX.html">ARX</a> &amp;A0)</td></tr>
[259]91
[290]92<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ca0b54c0997cfd567f49377af5def106"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="ca0b54c0997cfd567f49377af5def106" args="() const " -->
93<a class="el" href="classbdm_1_1ARX.html">ARX</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#ca0b54c0997cfd567f49377af5def106">_copy_</a> () const </td></tr>
[259]94
[290]95<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior as if to keep nu0 data. <br></td></tr>
[271]96<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7aef6fe827f15427d534e6fb2c220e04"></a><!-- doxytag: member="bdm::ARX::set_parameters" ref="7aef6fe827f15427d534e6fb2c220e04" args="(double frg0)" -->
97void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (double frg0)</td></tr>
[259]98
[290]99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f859f53eab269845a9064bbd92f841af"></a><!-- doxytag: member="bdm::ARX::set_statistics" ref="f859f53eab269845a9064bbd92f841af" args="(int dimx0, const ldmat V0, double nu0=&#45;1.0)" -->
[271]100void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (int dimx0, const <a class="el" href="classldmat.html">ldmat</a> V0, double nu0=-1.0)</td></tr>
[259]101
[271]102<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[259]103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="17e7fe14654ab3c449846c3f43e66169"></a><!-- doxytag: member="bdm::ARX::bayes" ref="17e7fe14654ab3c449846c3f43e66169" args="(const vec &amp;dt, const double w)" -->
104void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169">bayes</a> (const vec &amp;dt, const double w)</td></tr>
105
[275]106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Weighted Bayes <img class="formulaInl" alt="$ dt = [y_t psi_t] $" src="form_8.png">. <br></td></tr>
[259]107<tr><td class="memItemLeft" nowrap align="right" valign="top">void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3">bayes</a> (const vec &amp;dt)</td></tr>
108
109<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#8bdf2974052e8ce74eb0d4f3791c58a3"></a><br></td></tr>
110<tr><td class="memItemLeft" nowrap align="right" valign="top">double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">logpred</a> (const vec &amp;dt) const </td></tr>
111
112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e86ab499b116b837d3163ec852961eca"></a><!-- doxytag: member="bdm::ARX::flatten" ref="e86ab499b116b837d3163ec852961eca" args="(const BMEF *B)" -->
113void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#e86ab499b116b837d3163ec852961eca">flatten</a> (const <a class="el" href="classbdm_1_1BMEF.html">BMEF</a> *B)</td></tr>
114
115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior according to the given <a class="el" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> (of the same type!). <br></td></tr>
[270]116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="749827323c034f11bec61b6e2fc3d42a"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="749827323c034f11bec61b6e2fc3d42a" args="(const vec &amp;rgr) const " -->
117<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#749827323c034f11bec61b6e2fc3d42a">epredictor</a> (const vec &amp;rgr) const </td></tr>
[259]118
[261]119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conditioned version of the predictor. <br></td></tr>
[270]120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4cdf5e2a7d3480ec31f6247ed4289b15"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="4cdf5e2a7d3480ec31f6247ed4289b15" args="() const " -->
121<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#4cdf5e2a7d3480ec31f6247ed4289b15">epredictor</a> () const </td></tr>
[259]122
[271]123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Predictor for empty regressor. <br></td></tr>
[270]124<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="classbdm_1_1mlnorm.html">mlnorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#74fe8ae2d88bee8639510fd0eaf73513">predictor</a> () const </td></tr>
[259]125
[270]126<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">conditional version of the predictor  <a href="#74fe8ae2d88bee8639510fd0eaf73513"></a><br></td></tr>
127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c6a2428a46407fe45b4c7a99069c0801"></a><!-- doxytag: member="bdm::ARX::predictor_student" ref="c6a2428a46407fe45b4c7a99069c0801" args="() const " -->
128<a class="el" href="classbdm_1_1mlstudent.html">mlstudent</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>predictor_student</b> () const </td></tr>
[259]129
130<tr><td class="memItemLeft" nowrap align="right" valign="top">ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#16b02ae03316751664c22d59d90c1e34">structure_est</a> (<a class="el" href="classbdm_1_1egiw.html">egiw</a> Eg0)</td></tr>
131
132<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Brute force structure estimation.  <a href="#16b02ae03316751664c22d59d90c1e34"></a><br></td></tr>
[271]133<tr><td colspan="2"><div class="groupHeader">Access attributes</div></td></tr>
[259]134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab2c55205a324e9d698fbd8ac229ad4f"></a><!-- doxytag: member="bdm::ARX::_e" ref="ab2c55205a324e9d698fbd8ac229ad4f" args="() const " -->
[270]135const <a class="el" href="classbdm_1_1egiw.html">egiw</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr>
[259]136
[271]137<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a96a50d212648f049122a31d9553618"></a><!-- doxytag: member="bdm::ARX::posterior" ref="5a96a50d212648f049122a31d9553618" args="() const " -->
138const <a class="el" href="classbdm_1_1egiw.html">egiw</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>posterior</b> () const </td></tr>
[270]139
[271]140<tr><td colspan="2"><div class="groupHeader">Connection</div></td></tr>
141<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="df3dc1b90efc0cc54a3a6e5e858542d1"></a><!-- doxytag: member="bdm::ARX::set_drv" ref="df3dc1b90efc0cc54a3a6e5e858542d1" args="(const RV &amp;drv0)" -->
142void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;drv0)</td></tr>
143
144<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b96872783ab72e135b7b9ee26ef0577"></a><!-- doxytag: member="bdm::ARX::get_yrv" ref="7b96872783ab72e135b7b9ee26ef0577" args="()" -->
145<a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>get_yrv</b> ()</td></tr>
146
[270]147<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[259]148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::ARX::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" -->
149virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr>
150
151<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::ARX::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " -->
153vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr>
154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[270]156<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
[269]157<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::ARX::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
[270]158const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
[269]159
[271]160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::ARX::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" -->
161void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_rv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
[269]162
[259]163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::ARX::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
[270]164double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
[259]165
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::ARX::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" -->
[270]167void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
[259]168
169<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
[271]170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8e68db2a218d54b09304cad6c0a897d9"></a><!-- doxytag: member="bdm::ARX::dimx" ref="8e68db2a218d54b09304cad6c0a897d9" args="" -->
171int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9">dimx</a></td></tr>
172
173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">size of output variable (needed in regressors) <br></td></tr>
174<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">_yrv</a></td></tr>
175
[259]176<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11474a627367f81b76830cb8477cf026"></a><!-- doxytag: member="bdm::ARX::est" ref="11474a627367f81b76830cb8477cf026" args="" -->
177<a class="el" href="classbdm_1_1egiw.html">egiw</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026">est</a></td></tr>
178
[275]179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Posterior estimate of <img class="formulaInl" alt="$\theta,r$" src="form_7.png"> in the form of Normal-inverse Wishart density. <br></td></tr>
[259]180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de5b7d83ff5d3f5af2f80068db0abdfd"></a><!-- doxytag: member="bdm::ARX::V" ref="de5b7d83ff5d3f5af2f80068db0abdfd" args="" -->
181<a class="el" href="classldmat.html">ldmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd">V</a></td></tr>
182
183<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.V <br></td></tr>
184<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="740b0582f180ba13cae91d66e9bdb67f"></a><!-- doxytag: member="bdm::ARX::nu" ref="740b0582f180ba13cae91d66e9bdb67f" args="" -->
185double &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">nu</a></td></tr>
186
187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.nu <br></td></tr>
188<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1331865e10fb1ccef65bb4c47fa3be64"></a><!-- doxytag: member="bdm::ARX::frg" ref="1331865e10fb1ccef65bb4c47fa3be64" args="" -->
189double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64">frg</a></td></tr>
190
191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">forgetting factor <br></td></tr>
192<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06e7b3ac03e10017d4288c76888e2865"></a><!-- doxytag: member="bdm::ARX::last_lognc" ref="06e7b3ac03e10017d4288c76888e2865" args="" -->
193double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865">last_lognc</a></td></tr>
194
195<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of lognc() in the previous step (used in evaluation of <code>ll</code> ) <br></td></tr>
[269]196<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::ARX::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
197<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr>
198
199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
[259]200<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::ARX::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
201double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
202
203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
204<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::ARX::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
205bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
206
207<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr>
[290]208<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
209<tr><td colspan="2">This extension is useful e.g. in Marginalized Particle Filter (<a class="el" href="classbdm_1_1MPF.html">bdm::MPF</a>). Alternatively, it can be used for automated connection to <a class="el" href="classbdm_1_1DS.html" title="Abstract class for discrete-time sources of data.">DS</a> when the condition is observed <br><br></td></tr>
210<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::ARX::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
211const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#b5e8e016be16e4029c789063cb3f3b33">_rvc</a> () const </td></tr>
[271]212
[290]213<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
214<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::ARX::condition" ref="6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
215virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#6799f4b16a6a59ed58b1d0d6e17116f4">condition</a> (const vec &amp;val)</td></tr>
[271]216
[290]217<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
218<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::ARX::rvc" ref="de95c590d650b2db423d53992f0906cb" args="" -->
219<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#de95c590d650b2db423d53992f0906cb">rvc</a></td></tr>
220
221<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
222<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
223<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="224dd68a83c1472b43163763fa93c477"></a><!-- doxytag: member="bdm::ARX::set_options" ref="224dd68a83c1472b43163763fa93c477" args="(const string &amp;opt)" -->
224void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#224dd68a83c1472b43163763fa93c477">set_options</a> (const string &amp;opt)</td></tr>
225
226<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string. <br></td></tr>
227<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aa5d1f7e638db229403e3917bf155ee3"></a><!-- doxytag: member="bdm::ARX::log_add" ref="aa5d1f7e638db229403e3917bf155ee3" args="(logger *L, const string &amp;name=&quot;&quot;)" -->
228void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#aa5d1f7e638db229403e3917bf155ee3">log_add</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> *L, const string &amp;name=&quot;&quot;)</td></tr>
229
230<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Add all logged variables to a <a class="el" href="classbdm_1_1logger.html" title="Class for storing results (and semi-results) of an experiment.">logger</a>. <br></td></tr>
231<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0647606eefbf294623bf664971c7d461"></a><!-- doxytag: member="bdm::ARX::logit" ref="0647606eefbf294623bf664971c7d461" args="(logger *L)" -->
232void&nbsp;</td><td class="memItemRight" valign="bottom"><b>logit</b> (<a class="el" href="classbdm_1_1logger.html">logger</a> *L)</td></tr>
233
234<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::ARX::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
235ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
236
237<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">IDs of storages in loggers. <br></td></tr>
238<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a5e0000d2c9df99b029eceff222f7d77"></a><!-- doxytag: member="bdm::ARX::opt_L_bounds" ref="a5e0000d2c9df99b029eceff222f7d77" args="" -->
239bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#a5e0000d2c9df99b029eceff222f7d77">opt_L_bounds</a></td></tr>
240
241<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Option for logging bounds. <br></td></tr>
242</table>
243<hr><a name="_details"></a><h2>Detailed Description</h2>
244Linear Autoregressive model with Gaussian noise.
245<p>
246Regression of the following kind: <p class="formulaDsp">
247<img class="formulaDsp" alt="\[ y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t \]" src="form_0.png">
248<p>
249 where unknown parameters <code>rv</code> are <img class="formulaInl" alt="$[\theta r]$" src="form_1.png">, regression vector <img class="formulaInl" alt="$\psi=\psi(y_{1:t},u_{1:t})$" src="form_2.png"> is a known function of past outputs and exogeneous variables <img class="formulaInl" alt="$u_t$" src="form_3.png">. Distrubances <img class="formulaInl" alt="$e_t$" src="form_4.png"> are supposed to be normally distributed: <p class="formulaDsp">
250<img class="formulaDsp" alt="\[ e_t \sim \mathcal{N}(0,1). \]" src="form_5.png">
251<p>
252<p>
253See <a class="el" href="tut_arx.html">Theory of ARX model estimation</a> for mathematical treatment.<p>
254The easiest way how to use the class is: <div class="fragment"><pre class="fragment"><span class="preprocessor">#include &lt;<a class="code" href="arx_8h.html" title="Bayesian Filtering for generalized autoregressive (ARX) model.">estim/arx.h</a>&gt;</span>
255<span class="keyword">using namespace </span>bdm;
256       
257<span class="comment">// estimation of AR(0) model</span>
258<span class="keywordtype">int</span> main() {
259        <span class="comment">//prior </span>
260        mat V0 = 0.00001*eye(2); V0(0,0)= 0.1; <span class="comment">//</span>
261        ARX Ar;
262        Ar.set_statistics(1, V0); <span class="comment">//nu is default (set to have finite moments)</span>
263                                                          <span class="comment">// forgetting is default: 1.0</span>
264        mat Data = concat_vertical( randn(1,100), ones(1,100) );
265        Ar.bayesB( Data);
266                       
267        cout &lt;&lt; <span class="stringliteral">"Expected value of Theta is: "</span> &lt;&lt; Ar.posterior().mean() &lt;&lt;endl;
268}
269</pre></div> <hr><h2>Member Function Documentation</h2>
[259]270<a class="anchor" name="8bdf2974052e8ce74eb0d4f3791c58a3"></a><!-- doxytag: member="bdm::ARX::bayes" ref="8bdf2974052e8ce74eb0d4f3791c58a3" args="(const vec &amp;dt)" -->
271<div class="memitem">
272<div class="memproto">
273      <table class="memname">
274        <tr>
275          <td class="memname">void bdm::ARX::bayes           </td>
276          <td>(</td>
277          <td class="paramtype">const vec &amp;&nbsp;</td>
278          <td class="paramname"> <em>dt</em>          </td>
279          <td>&nbsp;)&nbsp;</td>
280          <td><code> [inline, virtual]</code></td>
281        </tr>
282      </table>
283</div>
284<div class="memdoc">
285
286<p>
287Incremental Bayes rule.
288<p>
289<dl compact><dt><b>Parameters:</b></dt><dd>
290  <table border="0" cellspacing="2" cellpadding="0">
291    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
292  </table>
293</dl>
294
295<p>Reimplemented from <a class="el" href="classbdm_1_1BMEF.html#c287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>.</p>
296
[290]297<p>References <a class="el" href="arx_8h-source.html#l00076">bayes()</a>.</p>
[259]298
[290]299<p>Referenced by <a class="el" href="arx_8h-source.html#l00076">bayes()</a>.</p>
300
[259]301</div>
302</div><p>
303<a class="anchor" name="080a7e531e3aa06694112863b15bc6a4"></a><!-- doxytag: member="bdm::ARX::logpred" ref="080a7e531e3aa06694112863b15bc6a4" args="(const vec &amp;dt) const " -->
304<div class="memitem">
305<div class="memproto">
306      <table class="memname">
307        <tr>
308          <td class="memname">double bdm::ARX::logpred           </td>
309          <td>(</td>
310          <td class="paramtype">const vec &amp;&nbsp;</td>
311          <td class="paramname"> <em>dt</em>          </td>
312          <td>&nbsp;)&nbsp;</td>
313          <td> const<code> [virtual]</code></td>
314        </tr>
315      </table>
316</div>
317<div class="memdoc">
318
319<p>
320Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
321<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">bdm::BM</a>.</p>
322
[290]323<p>References <a class="el" href="libEF_8h-source.html#l00204">bdm::egiw::_nu()</a>, <a class="el" href="libEF_8h-source.html#l00202">bdm::egiw::_V()</a>, <a class="el" href="arx_8h-source.html#l00047">est</a>, <a class="el" href="libBM_8h-source.html#l00636">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00077">bdm::BMEF::frg</a>, <a class="el" href="libEF_8h-source.html#l00079">bdm::BMEF::last_lognc</a>, <a class="el" href="libEF_8cpp-source.html#l00044">bdm::egiw::lognc()</a>, <a class="el" href="arx_8h-source.html#l00051">nu</a>, <a class="el" href="libDC_8cpp-source.html#l00058">ldmat::opupdt()</a>, <a class="el" href="libEF_8h-source.html#l00197">bdm::egiw::pow()</a>, and <a class="el" href="arx_8h-source.html#l00049">V</a>.</p>
[259]324
325</div>
326</div><p>
[270]327<a class="anchor" name="74fe8ae2d88bee8639510fd0eaf73513"></a><!-- doxytag: member="bdm::ARX::predictor" ref="74fe8ae2d88bee8639510fd0eaf73513" args="() const " -->
328<div class="memitem">
329<div class="memproto">
330      <table class="memname">
331        <tr>
332          <td class="memname"><a class="el" href="classbdm_1_1mlnorm.html">mlnorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; * bdm::ARX::predictor           </td>
333          <td>(</td>
334          <td class="paramname">          </td>
335          <td>&nbsp;)&nbsp;</td>
336          <td> const<code> [virtual]</code></td>
337        </tr>
338      </table>
339</div>
340<div class="memdoc">
341
342<p>
343conditional version of the predictor
344<p>
345
346<p>
347&lt;----------- TODO
348<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">bdm::BM</a>.</p>
349
[287]350<p>References <a class="el" href="libBM_8h-source.html#l00286">bdm::epdf::dimension()</a>, <a class="el" href="arx_8h-source.html#l00047">est</a>, <a class="el" href="libEF_8cpp-source.html#l00107">bdm::egiw::mean_mat()</a>, <a class="el" href="libDC_8h-source.html#l00289">ldmat::rows()</a>, <a class="el" href="libEF_8h-source.html#l00856">bdm::mlnorm&lt; sq_T &gt;::set_parameters()</a>, and <a class="el" href="arx_8h-source.html#l00049">V</a>.</p>
[270]351
352</div>
353</div><p>
[259]354<a class="anchor" name="16b02ae03316751664c22d59d90c1e34"></a><!-- doxytag: member="bdm::ARX::structure_est" ref="16b02ae03316751664c22d59d90c1e34" args="(egiw Eg0)" -->
355<div class="memitem">
356<div class="memproto">
357      <table class="memname">
358        <tr>
359          <td class="memname">ivec bdm::ARX::structure_est           </td>
360          <td>(</td>
361          <td class="paramtype"><a class="el" href="classbdm_1_1egiw.html">egiw</a>&nbsp;</td>
362          <td class="paramname"> <em>Eg0</em>          </td>
363          <td>&nbsp;)&nbsp;</td>
364          <td></td>
365        </tr>
366      </table>
367</div>
368<div class="memdoc">
369
370<p>
371Brute force structure estimation.
372<p>
373<dl class="return" compact><dt><b>Returns:</b></dt><dd>indeces of accepted regressors. </dd></dl>
374
[287]375<p>References <a class="el" href="libBM_8h-source.html#l00286">bdm::epdf::dimension()</a>, <a class="el" href="arx_8h-source.html#l00047">est</a>, and <a class="el" href="libEF_8cpp-source.html#l00044">bdm::egiw::lognc()</a>.</p>
[259]376
377</div>
378</div><p>
[271]379<hr><h2>Member Data Documentation</h2>
380<a class="anchor" name="363aaa55b2ab3eec602510cdf53e84ef"></a><!-- doxytag: member="bdm::ARX::_yrv" ref="363aaa55b2ab3eec602510cdf53e84ef" args="" -->
381<div class="memitem">
382<div class="memproto">
383      <table class="memname">
384        <tr>
385          <td class="memname"><a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1ARX.html#363aaa55b2ab3eec602510cdf53e84ef">bdm::ARX::_yrv</a><code> [protected]</code>          </td>
386        </tr>
387      </table>
388</div>
389<div class="memdoc">
390
391<p>
[275]392description of modelled data <img class="formulaInl" alt="$ y_t $" src="form_6.png"> in the likelihood function Do NOT access directly, only via <code>get_yrv()</code>.
[271]393</div>
394</div><p>
[259]395<hr>The documentation for this class was generated from the following files:<ul>
[261]396<li><a class="el" href="arx_8h-source.html">arx.h</a><li>bdm/estim/arx.cpp</ul>
[259]397</div>
[290]398<hr size="1"><address style="text-align: right;"><small>Generated on Fri Mar 6 15:01:38 2009 for mixpp by&nbsp;
[259]399<a href="http://www.doxygen.org/index.html">
[290]400<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
[259]401</body>
402</html>
Note: See TracBrowser for help on using the browser.