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61      <li><a href="classes.html"><span>Alphabetical&nbsp;List</span></a></li>
62      <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
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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" --><code>#include &lt;<a class="el" href="arx_8h-source.html">arx.h</a>&gt;</code>
72<p>
73<div class="dynheader">
74Inheritance diagram for bdm::ARX:</div>
75<div class="dynsection">
76
77<p><center><img src="classbdm_1_1ARX.png" usemap="#bdm::ARX_map" border="0" alt=""></center>
78<map name="bdm::ARX_map">
79<area href="classbdm_1_1BMEF.html" alt="bdm::BMEF" shape="rect" coords="0,112,86,136">
80<area href="classbdm_1_1BM.html" alt="bdm::BM" shape="rect" coords="0,56,86,80">
81<area href="classbdm_1_1bdmroot.html" alt="bdm::bdmroot" shape="rect" coords="0,0,86,24">
82</map>
83</div>
84
85<p>
86<a href="classbdm_1_1ARX-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
87Linear Autoregressive model with Gaussian noise.
88<p>
89Regression of the following kind: <p class="formulaDsp">
90<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">
91<p>
92 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">
93<img class="formulaDsp" alt="\[ e_t \sim \mathcal{N}(0,1). \]" src="form_5.png">
94<p>
95<p>
96See <a class="el" href="tut_arx.html">Theory of ARX model estimation</a> for mathematical treatment.<p>
97The 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>
98<span class="keyword">using namespace </span>bdm;
99       
100<span class="comment">// estimation of AR(0) model</span>
101<span class="keywordtype">int</span> main() {
102        <span class="comment">//prior </span>
103        mat V0 = 0.00001*eye(2); V0(0,0)= 0.1; <span class="comment">//</span>
104        ARX Ar;
105        Ar.set_statistics(1, V0); <span class="comment">//nu is default (set to have finite moments)</span>
106                                                          <span class="comment">// forgetting is default: 1.0</span>
107        mat Data = concat_vertical( randn(1,100), ones(1,100) );
108        Ar.bayesB( Data);
109                       
110        cout &lt;&lt; <span class="stringliteral">"Expected value of Theta is: "</span> &lt;&lt; Ar.posterior().mean() &lt;&lt;endl;
111}
112</pre></div> <table border="0" cellpadding="0" cellspacing="0">
113<tr><td></td></tr>
114<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
115<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)" -->
116void&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>
117
118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set sufficient statistics. <br></td></tr>
119<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)" -->
120<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>
121
122<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior as if to keep nu0 data. <br></td></tr>
123<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
124<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)" -->
125&nbsp;</td><td class="memItemRight" valign="bottom"><b>ARX</b> (const double frg0=1.0)</td></tr>
126
127<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)" -->
128&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>
129
130<tr><td class="memItemLeft" nowrap align="right" valign="top"><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>
131
132<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)" -->
133void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (double frg0)</td></tr>
134
135<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=-1.0)" -->
136void&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>
137
138<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
139<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)" -->
140void&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>
141
142<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>
143<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>
144
145<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#8bdf2974052e8ce74eb0d4f3791c58a3"></a><br></td></tr>
146<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>
147
148<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)" -->
149void&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>
150
151<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>
152<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 " -->
153<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>
154
155<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conditioned version of the predictor. <br></td></tr>
156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4cdf5e2a7d3480ec31f6247ed4289b15"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="4cdf5e2a7d3480ec31f6247ed4289b15" args="() const " -->
157<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>
158
159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Predictor for empty regressor. <br></td></tr>
160<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>
161
162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">conditional version of the predictor  <a href="#74fe8ae2d88bee8639510fd0eaf73513"></a><br></td></tr>
163<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 " -->
164<a class="el" href="classbdm_1_1mlstudent.html">mlstudent</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>predictor_student</b> () const </td></tr>
165
166<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>
167
168<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Brute force structure estimation.  <a href="#16b02ae03316751664c22d59d90c1e34"></a><br></td></tr>
169<tr><td colspan="2"><div class="groupHeader">Access attributes</div></td></tr>
170<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab2c55205a324e9d698fbd8ac229ad4f"></a><!-- doxytag: member="bdm::ARX::_e" ref="ab2c55205a324e9d698fbd8ac229ad4f" args="() const " -->
171const <a class="el" href="classbdm_1_1egiw.html">egiw</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr>
172
173<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a96a50d212648f049122a31d9553618"></a><!-- doxytag: member="bdm::ARX::posterior" ref="5a96a50d212648f049122a31d9553618" args="() const " -->
174const <a class="el" href="classbdm_1_1egiw.html">egiw</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>posterior</b> () const </td></tr>
175
176<tr><td colspan="2"><div class="groupHeader">Connection</div></td></tr>
177<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)" -->
178void&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>
179
180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b96872783ab72e135b7b9ee26ef0577"></a><!-- doxytag: member="bdm::ARX::get_yrv" ref="7b96872783ab72e135b7b9ee26ef0577" args="()" -->
181<a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>get_yrv</b> ()</td></tr>
182
183<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
184<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)" -->
185virtual 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>
186
187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
188<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 " -->
189vec&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>
190
191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
192<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
193<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::ARX::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
194const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
195
196<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)" -->
197void&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>
198
199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::ARX::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
200double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
201
202<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)" -->
203void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
204
205<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
206<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8e68db2a218d54b09304cad6c0a897d9"></a><!-- doxytag: member="bdm::ARX::dimx" ref="8e68db2a218d54b09304cad6c0a897d9" args="" -->
207int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9">dimx</a></td></tr>
208
209<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">size of output variable (needed in regressors) <br></td></tr>
210<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>
211
212<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11474a627367f81b76830cb8477cf026"></a><!-- doxytag: member="bdm::ARX::est" ref="11474a627367f81b76830cb8477cf026" args="" -->
213<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>
214
215<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>
216<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de5b7d83ff5d3f5af2f80068db0abdfd"></a><!-- doxytag: member="bdm::ARX::V" ref="de5b7d83ff5d3f5af2f80068db0abdfd" args="" -->
217<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>
218
219<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.V <br></td></tr>
220<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="740b0582f180ba13cae91d66e9bdb67f"></a><!-- doxytag: member="bdm::ARX::nu" ref="740b0582f180ba13cae91d66e9bdb67f" args="" -->
221double &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">nu</a></td></tr>
222
223<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.nu <br></td></tr>
224<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1331865e10fb1ccef65bb4c47fa3be64"></a><!-- doxytag: member="bdm::ARX::frg" ref="1331865e10fb1ccef65bb4c47fa3be64" args="" -->
225double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64">frg</a></td></tr>
226
227<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">forgetting factor <br></td></tr>
228<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06e7b3ac03e10017d4288c76888e2865"></a><!-- doxytag: member="bdm::ARX::last_lognc" ref="06e7b3ac03e10017d4288c76888e2865" args="" -->
229double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865">last_lognc</a></td></tr>
230
231<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>
232<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::ARX::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
233<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>
234
235<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
236<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::ARX::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
237double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
238
239<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
240<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::ARX::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
241bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
242
243<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>
244</table>
245<hr><h2>Member Function Documentation</h2>
246<a class="anchor" name="60c40b5c6abc4c7e464b4ccae64a5a61"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="60c40b5c6abc4c7e464b4ccae64a5a61" args="()" -->
247<div class="memitem">
248<div class="memproto">
249      <table class="memname">
250        <tr>
251          <td class="memname"><a class="el" href="classbdm_1_1ARX.html">ARX</a> * bdm::ARX::_copy_           </td>
252          <td>(</td>
253          <td class="paramname">          </td>
254          <td>&nbsp;)&nbsp;</td>
255          <td><code> [virtual]</code></td>
256        </tr>
257      </table>
258</div>
259<div class="memdoc">
260
261<p>
262Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">_copy_</a>(){<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}
263</pre></div> 
264<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#c0f027ff91d8459937c6f60ff8e553ff">bdm::BM</a>.</p>
265
266</div>
267</div><p>
268<a class="anchor" name="8bdf2974052e8ce74eb0d4f3791c58a3"></a><!-- doxytag: member="bdm::ARX::bayes" ref="8bdf2974052e8ce74eb0d4f3791c58a3" args="(const vec &amp;dt)" -->
269<div class="memitem">
270<div class="memproto">
271      <table class="memname">
272        <tr>
273          <td class="memname">void bdm::ARX::bayes           </td>
274          <td>(</td>
275          <td class="paramtype">const vec &amp;&nbsp;</td>
276          <td class="paramname"> <em>dt</em>          </td>
277          <td>&nbsp;)&nbsp;</td>
278          <td><code> [inline, virtual]</code></td>
279        </tr>
280      </table>
281</div>
282<div class="memdoc">
283
284<p>
285Incremental Bayes rule.
286<p>
287<dl compact><dt><b>Parameters:</b></dt><dd>
288  <table border="0" cellspacing="2" cellpadding="0">
289    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
290  </table>
291</dl>
292
293<p>Reimplemented from <a class="el" href="classbdm_1_1BMEF.html#c287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>.</p>
294
295<p>References <a class="el" href="bdm_2estim_2arx_8cpp-source.html#l00005">bayes()</a>.</p>
296
297</div>
298</div><p>
299<a class="anchor" name="080a7e531e3aa06694112863b15bc6a4"></a><!-- doxytag: member="bdm::ARX::logpred" ref="080a7e531e3aa06694112863b15bc6a4" args="(const vec &amp;dt) const " -->
300<div class="memitem">
301<div class="memproto">
302      <table class="memname">
303        <tr>
304          <td class="memname">double bdm::ARX::logpred           </td>
305          <td>(</td>
306          <td class="paramtype">const vec &amp;&nbsp;</td>
307          <td class="paramname"> <em>dt</em>          </td>
308          <td>&nbsp;)&nbsp;</td>
309          <td> const<code> [virtual]</code></td>
310        </tr>
311      </table>
312</div>
313<div class="memdoc">
314
315<p>
316Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
317<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">bdm::BM</a>.</p>
318
319<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#l00603">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>
320
321</div>
322</div><p>
323<a class="anchor" name="74fe8ae2d88bee8639510fd0eaf73513"></a><!-- doxytag: member="bdm::ARX::predictor" ref="74fe8ae2d88bee8639510fd0eaf73513" args="() const " -->
324<div class="memitem">
325<div class="memproto">
326      <table class="memname">
327        <tr>
328          <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>
329          <td>(</td>
330          <td class="paramname">          </td>
331          <td>&nbsp;)&nbsp;</td>
332          <td> const<code> [virtual]</code></td>
333        </tr>
334      </table>
335</div>
336<div class="memdoc">
337
338<p>
339conditional version of the predictor
340<p>
341
342<p>
343&lt;----------- TODO
344<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">bdm::BM</a>.</p>
345
346<p>References <a class="el" href="libBM_8h-source.html#l00281">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#l00776">bdm::mlnorm&lt; sq_T &gt;::set_parameters()</a>, and <a class="el" href="arx_8h-source.html#l00049">V</a>.</p>
347
348</div>
349</div><p>
350<a class="anchor" name="16b02ae03316751664c22d59d90c1e34"></a><!-- doxytag: member="bdm::ARX::structure_est" ref="16b02ae03316751664c22d59d90c1e34" args="(egiw Eg0)" -->
351<div class="memitem">
352<div class="memproto">
353      <table class="memname">
354        <tr>
355          <td class="memname">ivec bdm::ARX::structure_est           </td>
356          <td>(</td>
357          <td class="paramtype"><a class="el" href="classbdm_1_1egiw.html">egiw</a>&nbsp;</td>
358          <td class="paramname"> <em>Eg0</em>          </td>
359          <td>&nbsp;)&nbsp;</td>
360          <td></td>
361        </tr>
362      </table>
363</div>
364<div class="memdoc">
365
366<p>
367Brute force structure estimation.
368<p>
369<dl class="return" compact><dt><b>Returns:</b></dt><dd>indeces of accepted regressors. </dd></dl>
370
371<p>References <a class="el" href="libBM_8h-source.html#l00281">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>
372
373</div>
374</div><p>
375<hr><h2>Member Data Documentation</h2>
376<a class="anchor" name="363aaa55b2ab3eec602510cdf53e84ef"></a><!-- doxytag: member="bdm::ARX::_yrv" ref="363aaa55b2ab3eec602510cdf53e84ef" args="" -->
377<div class="memitem">
378<div class="memproto">
379      <table class="memname">
380        <tr>
381          <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>
382        </tr>
383      </table>
384</div>
385<div class="memdoc">
386
387<p>
388description 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>.
389</div>
390</div><p>
391<hr>The documentation for this class was generated from the following files:<ul>
392<li><a class="el" href="arx_8h-source.html">arx.h</a><li>bdm/estim/arx.cpp</ul>
393</div>
394<hr size="1"><address style="text-align: right;"><small>Generated on Mon Feb 16 10:06:31 2009 for mixpp by&nbsp;
395<a href="http://www.doxygen.org/index.html">
396<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>
397</body>
398</html>
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