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67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1ARX.html">ARX</a>
68  </div>
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70<div class="contents">
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>
73<p>
74<code>#include &lt;<a class="el" href="arx_8h-source.html">arx.h</a>&gt;</code>
75<p>
76
77<p>
78<a href="classbdm_1_1ARX-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
79<tr><td></td></tr>
80<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3d95e9de79ca1d52b06f1b8f80660f09"></a><!-- doxytag: member="bdm::ARX::ToString" ref="3d95e9de79ca1d52b06f1b8f80660f09" args="()" -->
86virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1bdmroot.html#3d95e9de79ca1d52b06f1b8f80660f09">ToString</a> ()</td></tr>
87
88<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br></td></tr>
89<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d4602efd3ad9fb9e4532426e4f488df8"></a><!-- doxytag: member="bdm::ARX::from_setting" ref="d4602efd3ad9fb9e4532426e4f488df8" args="(const Setting &amp;root)" -->
90virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1bdmroot.html#d4602efd3ad9fb9e4532426e4f488df8">from_setting</a> (const Setting &amp;root)</td></tr>
91
92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method arrange instance properties according the data stored in the Setting structure. <br></td></tr>
93<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dd74cb898b22b95b7ee528e040a07618"></a><!-- doxytag: member="bdm::ARX::to_setting" ref="dd74cb898b22b95b7ee528e040a07618" args="(Setting &amp;root) const " -->
94virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1bdmroot.html#dd74cb898b22b95b7ee528e040a07618">to_setting</a> (Setting &amp;root) const </td></tr>
95
96<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br></td></tr>
97<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
98<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)" -->
99&nbsp;</td><td class="memItemRight" valign="bottom"><b>ARX</b> (const double frg0=1.0)</td></tr>
100
101<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)" -->
102&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>
103
104<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ca0b54c0997cfd567f49377af5def106"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="ca0b54c0997cfd567f49377af5def106" args="() const " -->
105<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>
106
107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior as if to keep nu0 data. <br></td></tr>
108<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)" -->
109void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (double frg0)</td></tr>
110
111<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)" -->
112void&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>
113
114<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
115<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)" -->
116void&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>
117
118<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>
119<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>
120
121<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#8bdf2974052e8ce74eb0d4f3791c58a3"></a><br></td></tr>
122<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>
123
124<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)" -->
125void&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>
126
127<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>
128<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 " -->
129<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>
130
131<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conditioned version of the predictor. <br></td></tr>
132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4cdf5e2a7d3480ec31f6247ed4289b15"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="4cdf5e2a7d3480ec31f6247ed4289b15" args="() const " -->
133<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>
134
135<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Predictor for empty regressor. <br></td></tr>
136<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>
137
138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">conditional version of the predictor  <a href="#74fe8ae2d88bee8639510fd0eaf73513"></a><br></td></tr>
139<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 " -->
140<a class="el" href="classbdm_1_1mlstudent.html">mlstudent</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>predictor_student</b> () const </td></tr>
141
142<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>
143
144<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Brute force structure estimation.  <a href="#16b02ae03316751664c22d59d90c1e34"></a><br></td></tr>
145<tr><td colspan="2"><div class="groupHeader">Access attributes</div></td></tr>
146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab2c55205a324e9d698fbd8ac229ad4f"></a><!-- doxytag: member="bdm::ARX::_e" ref="ab2c55205a324e9d698fbd8ac229ad4f" args="() const " -->
147const <a class="el" href="classbdm_1_1egiw.html">egiw</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr>
148
149<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a96a50d212648f049122a31d9553618"></a><!-- doxytag: member="bdm::ARX::posterior" ref="5a96a50d212648f049122a31d9553618" args="() const " -->
150const <a class="el" href="classbdm_1_1egiw.html">egiw</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>posterior</b> () const </td></tr>
151
152<tr><td colspan="2"><div class="groupHeader">Connection</div></td></tr>
153<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)" -->
154void&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>
155
156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b96872783ab72e135b7b9ee26ef0577"></a><!-- doxytag: member="bdm::ARX::get_yrv" ref="7b96872783ab72e135b7b9ee26ef0577" args="()" -->
157<a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>get_yrv</b> ()</td></tr>
158
159<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
160<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)" -->
161virtual 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>
162
163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
164<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 " -->
165vec&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>
166
167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
168<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
169<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::ARX::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
170const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
171
172<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)" -->
173void&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>
174
175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::ARX::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
176double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
177
178<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)" -->
179void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
180
181<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
182<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8e68db2a218d54b09304cad6c0a897d9"></a><!-- doxytag: member="bdm::ARX::dimx" ref="8e68db2a218d54b09304cad6c0a897d9" args="" -->
183int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9">dimx</a></td></tr>
184
185<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">size of output variable (needed in regressors) <br></td></tr>
186<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>
187
188<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11474a627367f81b76830cb8477cf026"></a><!-- doxytag: member="bdm::ARX::est" ref="11474a627367f81b76830cb8477cf026" args="" -->
189<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>
190
191<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>
192<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de5b7d83ff5d3f5af2f80068db0abdfd"></a><!-- doxytag: member="bdm::ARX::V" ref="de5b7d83ff5d3f5af2f80068db0abdfd" args="" -->
193<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>
194
195<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.V <br></td></tr>
196<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="740b0582f180ba13cae91d66e9bdb67f"></a><!-- doxytag: member="bdm::ARX::nu" ref="740b0582f180ba13cae91d66e9bdb67f" args="" -->
197double &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">nu</a></td></tr>
198
199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.nu <br></td></tr>
200<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1331865e10fb1ccef65bb4c47fa3be64"></a><!-- doxytag: member="bdm::ARX::frg" ref="1331865e10fb1ccef65bb4c47fa3be64" args="" -->
201double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64">frg</a></td></tr>
202
203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">forgetting factor <br></td></tr>
204<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06e7b3ac03e10017d4288c76888e2865"></a><!-- doxytag: member="bdm::ARX::last_lognc" ref="06e7b3ac03e10017d4288c76888e2865" args="" -->
205double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865">last_lognc</a></td></tr>
206
207<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>
208<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::ARX::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
209<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>
210
211<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
212<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::ARX::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
213double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
214
215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
216<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::ARX::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
217bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
218
219<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>
220<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
221<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>
222<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::ARX::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
223const <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>
224
225<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
226<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)" -->
227virtual 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>
228
229<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
230<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::ARX::rvc" ref="de95c590d650b2db423d53992f0906cb" args="" -->
231<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>
232
233<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
234<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
235<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="adb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::ARX::set_options" ref="adb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
236virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#adb539fa2585c8a2a91c54e5aebf330e">set_options</a> (const string &amp;opt)</td></tr>
237
238<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string recognized are: "logbounds,logll". <br></td></tr>
239<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::ARX::log_add" ref="2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
240virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#2298ca6af9b13a78a4c9e18ab43f1827">log_add</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L, const string &amp;name=&quot;&quot;)</td></tr>
241
242<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>
243<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::ARX::logit" ref="b517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
244virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>logit</b> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L)</td></tr>
245
246<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::ARX::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
247ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
248
249<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll]. <br></td></tr>
250<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::ARX::LFlags" ref="398b7e7a162cf37d0022d6126495f207" args="" -->
251ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
252
253<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flags for logging - same size as LIDs, each entry correspond to the same in LIDs. <br></td></tr>
254</table>
255<hr><a name="_details"></a><h2>Detailed Description</h2>
256Linear Autoregressive model with Gaussian noise.
257<p>
258Regression of the following kind: <p class="formulaDsp">
259<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">
260<p>
261 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">
262<img class="formulaDsp" alt="\[ e_t \sim \mathcal{N}(0,1). \]" src="form_5.png">
263<p>
264<p>
265See <a class="el" href="tut_arx.html">Theory of ARX model estimation</a> for mathematical treatment.<p>
266The 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>
267<span class="keyword">using namespace </span>bdm;
268       
269<span class="comment">// estimation of AR(0) model</span>
270<span class="keywordtype">int</span> main() {
271        <span class="comment">//prior </span>
272        mat V0 = 0.00001*eye(2); V0(0,0)= 0.1; <span class="comment">//</span>
273        ARX Ar;
274        Ar.set_statistics(1, V0); <span class="comment">//nu is default (set to have finite moments)</span>
275                                                          <span class="comment">// forgetting is default: 1.0</span>
276        mat Data = concat_vertical( randn(1,100), ones(1,100) );
277        Ar.bayesB( Data);
278                       
279        cout &lt;&lt; <span class="stringliteral">"Expected value of Theta is: "</span> &lt;&lt; Ar.posterior().mean() &lt;&lt;endl;
280}
281</pre></div> <hr><h2>Member Function Documentation</h2>
282<a class="anchor" name="8bdf2974052e8ce74eb0d4f3791c58a3"></a><!-- doxytag: member="bdm::ARX::bayes" ref="8bdf2974052e8ce74eb0d4f3791c58a3" args="(const vec &amp;dt)" -->
283<div class="memitem">
284<div class="memproto">
285      <table class="memname">
286        <tr>
287          <td class="memname">void bdm::ARX::bayes           </td>
288          <td>(</td>
289          <td class="paramtype">const vec &amp;&nbsp;</td>
290          <td class="paramname"> <em>dt</em>          </td>
291          <td>&nbsp;)&nbsp;</td>
292          <td><code> [inline, virtual]</code></td>
293        </tr>
294      </table>
295</div>
296<div class="memdoc">
297
298<p>
299Incremental Bayes rule.
300<p>
301<dl compact><dt><b>Parameters:</b></dt><dd>
302  <table border="0" cellspacing="2" cellpadding="0">
303    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
304  </table>
305</dl>
306
307<p>Reimplemented from <a class="el" href="classbdm_1_1BMEF.html#c287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>.</p>
308
309<p>References <a class="el" href="arx_8h-source.html#l00076">bayes()</a>.</p>
310
311<p>Referenced by <a class="el" href="arx_8h-source.html#l00076">bayes()</a>.</p>
312
313</div>
314</div><p>
315<a class="anchor" name="080a7e531e3aa06694112863b15bc6a4"></a><!-- doxytag: member="bdm::ARX::logpred" ref="080a7e531e3aa06694112863b15bc6a4" args="(const vec &amp;dt) const " -->
316<div class="memitem">
317<div class="memproto">
318      <table class="memname">
319        <tr>
320          <td class="memname">double bdm::ARX::logpred           </td>
321          <td>(</td>
322          <td class="paramtype">const vec &amp;&nbsp;</td>
323          <td class="paramname"> <em>dt</em>          </td>
324          <td>&nbsp;)&nbsp;</td>
325          <td> const<code> [virtual]</code></td>
326        </tr>
327      </table>
328</div>
329<div class="memdoc">
330
331<p>
332Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
333<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">bdm::BM</a>.</p>
334
335<p>References <a class="el" href="libEF_8h-source.html#l00221">bdm::egiw::_nu()</a>, <a class="el" href="libEF_8h-source.html#l00219">bdm::egiw::_V()</a>, <a class="el" href="arx_8h-source.html#l00047">est</a>, <a class="el" href="libBM_8h-source.html#l00665">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00082">bdm::BMEF::frg</a>, <a class="el" href="libEF_8h-source.html#l00084">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#l00214">bdm::egiw::pow()</a>, and <a class="el" href="arx_8h-source.html#l00049">V</a>.</p>
336
337</div>
338</div><p>
339<a class="anchor" name="74fe8ae2d88bee8639510fd0eaf73513"></a><!-- doxytag: member="bdm::ARX::predictor" ref="74fe8ae2d88bee8639510fd0eaf73513" args="() const " -->
340<div class="memitem">
341<div class="memproto">
342      <table class="memname">
343        <tr>
344          <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>
345          <td>(</td>
346          <td class="paramname">          </td>
347          <td>&nbsp;)&nbsp;</td>
348          <td> const<code> [virtual]</code></td>
349        </tr>
350      </table>
351</div>
352<div class="memdoc">
353
354<p>
355conditional version of the predictor
356<p>
357
358<p>
359&lt;----------- TODO
360<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">bdm::BM</a>.</p>
361
362<p>References <a class="el" href="libBM_8h-source.html#l00310">bdm::epdf::dimension()</a>, <a class="el" href="arx_8h-source.html#l00047">est</a>, <a class="el" href="libEF_8cpp-source.html#l00138">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#l01044">bdm::mlnorm&lt; sq_T &gt;::set_parameters()</a>, and <a class="el" href="arx_8h-source.html#l00049">V</a>.</p>
363
364</div>
365</div><p>
366<a class="anchor" name="16b02ae03316751664c22d59d90c1e34"></a><!-- doxytag: member="bdm::ARX::structure_est" ref="16b02ae03316751664c22d59d90c1e34" args="(egiw Eg0)" -->
367<div class="memitem">
368<div class="memproto">
369      <table class="memname">
370        <tr>
371          <td class="memname">ivec bdm::ARX::structure_est           </td>
372          <td>(</td>
373          <td class="paramtype"><a class="el" href="classbdm_1_1egiw.html">egiw</a>&nbsp;</td>
374          <td class="paramname"> <em>Eg0</em>          </td>
375          <td>&nbsp;)&nbsp;</td>
376          <td></td>
377        </tr>
378      </table>
379</div>
380<div class="memdoc">
381
382<p>
383Brute force structure estimation.
384<p>
385<dl class="return" compact><dt><b>Returns:</b></dt><dd>indeces of accepted regressors. </dd></dl>
386
387<p>References <a class="el" href="libBM_8h-source.html#l00310">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>
388
389</div>
390</div><p>
391<hr><h2>Member Data Documentation</h2>
392<a class="anchor" name="363aaa55b2ab3eec602510cdf53e84ef"></a><!-- doxytag: member="bdm::ARX::_yrv" ref="363aaa55b2ab3eec602510cdf53e84ef" args="" -->
393<div class="memitem">
394<div class="memproto">
395      <table class="memname">
396        <tr>
397          <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>
398        </tr>
399      </table>
400</div>
401<div class="memdoc">
402
403<p>
404description 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>.
405</div>
406</div><p>
407<hr>The documentation for this class was generated from the following files:<ul>
408<li><a class="el" href="arx_8h-source.html">arx.h</a><li>bdm/estim/arx.cpp</ul>
409</div>
410<hr size="1"><address style="text-align: right;"><small>Generated on Tue Jun 2 10:11:00 2009 for mixpp by&nbsp;
411<a href="http://www.doxygen.org/index.html">
412<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
413</body>
414</html>
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