root/doc/html/classbdm_1_1ARX.html @ 270

Revision 270, 24.8 kB (checked in by smidl, 16 years ago)

Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

Line 
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="doxygen.css" rel="stylesheet" type="text/css">
5<link href="tabs.css" rel="stylesheet" type="text/css">
6</head><body>
7<!-- Generated by Doxygen 1.5.6 -->
8<div class="navigation" id="top">
9  <div class="tabs">
10    <ul>
11      <li><a href="index.html"><span>Main&nbsp;Page</span></a></li>
12      <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
13      <li><a href="modules.html"><span>Modules</span></a></li>
14      <li><a href="namespaces.html"><span>Namespaces</span></a></li>
15      <li class="current"><a href="classes.html"><span>Classes</span></a></li>
16      <li><a href="files.html"><span>Files</span></a></li>
17    </ul>
18  </div>
19  <div class="tabs">
20    <ul>
21      <li><a href="classes.html"><span>Alphabetical&nbsp;List</span></a></li>
22      <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
23      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
24      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
25    </ul>
26  </div>
27  <div class="navpath"><a class="el" href="namespacebdm.html">bdm</a>::<a class="el" href="classbdm_1_1ARX.html">ARX</a>
28  </div>
29</div>
30<div class="contents">
31<h1>bdm::ARX Class Reference</h1><!-- doxytag: class="bdm::ARX" --><!-- doxytag: inherits="bdm::BMEF" --><code>#include &lt;<a class="el" href="arx_8h-source.html">arx.h</a>&gt;</code>
32<p>
33<div class="dynheader">
34Inheritance diagram for bdm::ARX:</div>
35<div class="dynsection">
36<p><center><img src="classbdm_1_1ARX__inherit__graph.png" border="0" usemap="#bdm_1_1ARX__inherit__map" alt="Inheritance graph"></center>
37<map name="bdm_1_1ARX__inherit__map">
38<area shape="rect" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family." alt="" coords="15,161,108,188"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="23,84,100,111"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="5,7,117,33"></map>
39<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
40
41<p>
42<a href="classbdm_1_1ARX-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
43Linear Autoregressive model with Gaussian noise.
44<p>
45Regression of the following kind: <p class="formulaDsp">
46<img class="formulaDsp" alt="\[ y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t \]" src="form_61.png">
47<p>
48 where unknown parameters <code>rv</code> are <img class="formulaInl" alt="$[\theta r]$" src="form_51.png">, regression vector <img class="formulaInl" alt="$\psi=\psi(y_{1:t},u_{1:t})$" src="form_52.png"> is a known function of past outputs and exogeneous variables <img class="formulaInl" alt="$u_t$" src="form_53.png">. Distrubances <img class="formulaInl" alt="$e_t$" src="form_54.png"> are supposed to be normally distributed: <p class="formulaDsp">
49<img class="formulaDsp" alt="\[ e_t \sim \mathcal{N}(0,1). \]" src="form_62.png">
50<p>
51<p>
52Extension for time-variant parameters <img class="formulaInl" alt="$\theta_t,r_t$" src="form_55.png"> may be achived using exponential forgetting (Kulhavy and Zarrop, 1993). In such a case, the forgetting factor <code>frg</code> <img class="formulaInl" alt="$\in <0,1>$" src="form_56.png"> should be given in the constructor. Time-invariant parameters are estimated for <code>frg</code> = 1. <table border="0" cellpadding="0" cellspacing="0">
53<tr><td></td></tr>
54<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
55<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)" -->
56&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#43ed6114f04a3a8756fe2b42eaa35f98">ARX</a> (const double frg0=1.0)</td></tr>
57
58<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Full constructor. <br></td></tr>
59<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)" -->
60&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#73a55a3d66bfbeeee4df6c2ae40920ed">ARX</a> (const <a class="el" href="classbdm_1_1ARX.html">ARX</a> &amp;A0)</td></tr>
61
62<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="60c40b5c6abc4c7e464b4ccae64a5a61"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="60c40b5c6abc4c7e464b4ccae64a5a61" args="()" -->
64<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#60c40b5c6abc4c7e464b4ccae64a5a61">_copy_</a> ()</td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Auxiliary function. <br></td></tr>
67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cab0a1de5355b1027d24fd3d4862c9b0"></a><!-- doxytag: member="bdm::ARX::set_parameters" ref="cab0a1de5355b1027d24fd3d4862c9b0" args="(const ldmat &amp;V0, const double &amp;nu0)" -->
68void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#cab0a1de5355b1027d24fd3d4862c9b0">set_parameters</a> (const <a class="el" href="classldmat.html">ldmat</a> &amp;V0, const double &amp;nu0)</td></tr>
69
70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set sufficient statistics. <br></td></tr>
71<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)" -->
72void&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>
73
74<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">get statistics from another model <br></td></tr>
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1974409e022ea1efb3404b5c2fde66ad"></a><!-- doxytag: member="bdm::ARX::get_parameters" ref="1974409e022ea1efb3404b5c2fde66ad" args="(mat &amp;V0, double &amp;nu0)" -->
76void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#1974409e022ea1efb3404b5c2fde66ad">get_parameters</a> (mat &amp;V0, double &amp;nu0)</td></tr>
77
78<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns sufficient statistics. <br></td></tr>
79<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)" -->
80void&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>
81
82<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here <img class="formulaInl" alt="$dt = [y_t psi_t] $" src="form_58.png">. <br></td></tr>
83<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>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#8bdf2974052e8ce74eb0d4f3791c58a3"></a><br></td></tr>
86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="16797df43f85f1ddbe9d64fd6d82c25d"></a><!-- doxytag: member="bdm::ARX::_epdf" ref="16797df43f85f1ddbe9d64fd6d82c25d" args="() const " -->
87const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_epdf</b> () const </td></tr>
88
89<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>
90
91<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)" -->
92void&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>
93
94<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>
95<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 " -->
96<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>
97
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conditioned version of the predictor. <br></td></tr>
99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4cdf5e2a7d3480ec31f6247ed4289b15"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="4cdf5e2a7d3480ec31f6247ed4289b15" args="() const " -->
100<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>
101
102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_112.png">. <br></td></tr>
103<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>
104
105<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">conditional version of the predictor  <a href="#74fe8ae2d88bee8639510fd0eaf73513"></a><br></td></tr>
106<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 " -->
107<a class="el" href="classbdm_1_1mlstudent.html">mlstudent</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>predictor_student</b> () const </td></tr>
108
109<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>
110
111<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Brute force structure estimation.  <a href="#16b02ae03316751664c22d59d90c1e34"></a><br></td></tr>
112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab2c55205a324e9d698fbd8ac229ad4f"></a><!-- doxytag: member="bdm::ARX::_e" ref="ab2c55205a324e9d698fbd8ac229ad4f" args="() const " -->
113const <a class="el" href="classbdm_1_1egiw.html">egiw</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr>
114
115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5912dbcf28ae711e30b08c2fa766a3e6"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="5912dbcf28ae711e30b08c2fa766a3e6" args="(bool changerv=false)" -->
116<a class="el" href="classbdm_1_1BMEF.html">BMEF</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#5912dbcf28ae711e30b08c2fa766a3e6">_copy_</a> (bool changerv=false)</td></tr>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior as if to keep nu0 data. <br></td></tr>
119<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
120<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)" -->
121virtual 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>
122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
124<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 " -->
125vec&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>
126
127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
128<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
129<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::ARX::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
130const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
131
132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::ARX::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" -->
133void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr>
134
135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::ARX::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
136double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
137
138<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)" -->
139void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
140
141<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
142<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11474a627367f81b76830cb8477cf026"></a><!-- doxytag: member="bdm::ARX::est" ref="11474a627367f81b76830cb8477cf026" args="" -->
143<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>
144
145<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Posterior estimate of <img class="formulaInl" alt="$\theta,r$" src="form_57.png"> in the form of Normal-inverse Wishart density. <br></td></tr>
146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de5b7d83ff5d3f5af2f80068db0abdfd"></a><!-- doxytag: member="bdm::ARX::V" ref="de5b7d83ff5d3f5af2f80068db0abdfd" args="" -->
147<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>
148
149<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.V <br></td></tr>
150<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="740b0582f180ba13cae91d66e9bdb67f"></a><!-- doxytag: member="bdm::ARX::nu" ref="740b0582f180ba13cae91d66e9bdb67f" args="" -->
151double &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">nu</a></td></tr>
152
153<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.nu <br></td></tr>
154<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1331865e10fb1ccef65bb4c47fa3be64"></a><!-- doxytag: member="bdm::ARX::frg" ref="1331865e10fb1ccef65bb4c47fa3be64" args="" -->
155double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64">frg</a></td></tr>
156
157<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">forgetting factor <br></td></tr>
158<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06e7b3ac03e10017d4288c76888e2865"></a><!-- doxytag: member="bdm::ARX::last_lognc" ref="06e7b3ac03e10017d4288c76888e2865" args="" -->
159double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865">last_lognc</a></td></tr>
160
161<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>
162<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::ARX::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
163<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>
164
165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
166<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::ARX::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
167double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
168
169<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::ARX::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
171bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
172
173<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>
174</table>
175<hr><h2>Member Function Documentation</h2>
176<a class="anchor" name="8bdf2974052e8ce74eb0d4f3791c58a3"></a><!-- doxytag: member="bdm::ARX::bayes" ref="8bdf2974052e8ce74eb0d4f3791c58a3" args="(const vec &amp;dt)" -->
177<div class="memitem">
178<div class="memproto">
179      <table class="memname">
180        <tr>
181          <td class="memname">void bdm::ARX::bayes           </td>
182          <td>(</td>
183          <td class="paramtype">const vec &amp;&nbsp;</td>
184          <td class="paramname"> <em>dt</em>          </td>
185          <td>&nbsp;)&nbsp;</td>
186          <td><code> [inline, virtual]</code></td>
187        </tr>
188      </table>
189</div>
190<div class="memdoc">
191
192<p>
193Incremental Bayes rule.
194<p>
195<dl compact><dt><b>Parameters:</b></dt><dd>
196  <table border="0" cellspacing="2" cellpadding="0">
197    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
198  </table>
199</dl>
200
201<p>Reimplemented from <a class="el" href="classbdm_1_1BMEF.html#c287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>.</p>
202
203<p>References <a class="el" href="bdm_2estim_2arx_8cpp-source.html#l00005">bayes()</a>.</p>
204
205</div>
206</div><p>
207<a class="anchor" name="080a7e531e3aa06694112863b15bc6a4"></a><!-- doxytag: member="bdm::ARX::logpred" ref="080a7e531e3aa06694112863b15bc6a4" args="(const vec &amp;dt) const " -->
208<div class="memitem">
209<div class="memproto">
210      <table class="memname">
211        <tr>
212          <td class="memname">double bdm::ARX::logpred           </td>
213          <td>(</td>
214          <td class="paramtype">const vec &amp;&nbsp;</td>
215          <td class="paramname"> <em>dt</em>          </td>
216          <td>&nbsp;)&nbsp;</td>
217          <td> const<code> [virtual]</code></td>
218        </tr>
219      </table>
220</div>
221<div class="memdoc">
222
223<p>
224Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
225<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">bdm::BM</a>.</p>
226
227<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#l00038">est</a>, <a class="el" href="libBM_8h-source.html#l00583">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#l00042">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#l00040">V</a>.</p>
228
229</div>
230</div><p>
231<a class="anchor" name="74fe8ae2d88bee8639510fd0eaf73513"></a><!-- doxytag: member="bdm::ARX::predictor" ref="74fe8ae2d88bee8639510fd0eaf73513" args="() const " -->
232<div class="memitem">
233<div class="memproto">
234      <table class="memname">
235        <tr>
236          <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>
237          <td>(</td>
238          <td class="paramname">          </td>
239          <td>&nbsp;)&nbsp;</td>
240          <td> const<code> [virtual]</code></td>
241        </tr>
242      </table>
243</div>
244<div class="memdoc">
245
246<p>
247conditional version of the predictor
248<p>
249
250<p>
251&lt;----------- TODO
252<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">bdm::BM</a>.</p>
253
254<p>References <a class="el" href="libBM_8h-source.html#l00272">bdm::epdf::dimension()</a>, <a class="el" href="arx_8h-source.html#l00038">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#l00762">bdm::mlnorm&lt; sq_T &gt;::set_parameters()</a>, and <a class="el" href="arx_8h-source.html#l00040">V</a>.</p>
255
256</div>
257</div><p>
258<a class="anchor" name="16b02ae03316751664c22d59d90c1e34"></a><!-- doxytag: member="bdm::ARX::structure_est" ref="16b02ae03316751664c22d59d90c1e34" args="(egiw Eg0)" -->
259<div class="memitem">
260<div class="memproto">
261      <table class="memname">
262        <tr>
263          <td class="memname">ivec bdm::ARX::structure_est           </td>
264          <td>(</td>
265          <td class="paramtype"><a class="el" href="classbdm_1_1egiw.html">egiw</a>&nbsp;</td>
266          <td class="paramname"> <em>Eg0</em>          </td>
267          <td>&nbsp;)&nbsp;</td>
268          <td></td>
269        </tr>
270      </table>
271</div>
272<div class="memdoc">
273
274<p>
275Brute force structure estimation.
276<p>
277<dl class="return" compact><dt><b>Returns:</b></dt><dd>indeces of accepted regressors. </dd></dl>
278
279<p>References <a class="el" href="libBM_8h-source.html#l00272">bdm::epdf::dimension()</a>, <a class="el" href="bdm_2estim_2arx_8cpp-source.html#l00132">bdm::egiw_bestbelow()</a>, <a class="el" href="arx_8h-source.html#l00038">est</a>, and <a class="el" href="libEF_8cpp-source.html#l00044">bdm::egiw::lognc()</a>.</p>
280
281</div>
282</div><p>
283<hr>The documentation for this class was generated from the following files:<ul>
284<li><a class="el" href="arx_8h-source.html">arx.h</a><li>bdm/estim/arx.cpp</ul>
285</div>
286<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:01 2009 for mixpp by&nbsp;
287<a href="http://www.doxygen.org/index.html">
288<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
289</body>
290</html>
Note: See TracBrowser for help on using the browser.