bdm::BMEF Class Reference

Estimator for Exponential family. More...

#include <libEF.h>

List of all members.

Public Member Functions

 BMEF (double frg0=1.0)
 Default constructor (=empty constructor).
 BMEF (const BMEF &B)
 Copy constructor.
virtual void set_statistics (const BMEF *BM0)
 get statistics from another model
virtual void bayes (const vec &data, const double w)
 Weighted update of sufficient statistics (Bayes rule).
void bayes (const vec &dt)
 Incremental Bayes rule.
virtual void flatten (const BMEF *B)
 Flatten the posterior according to the given BMEF (of the same type!).
BMEF_copy_ () const
 Flatten the posterior as if to keep nu0 data.
virtual string ToString ()
 This method returns a basic info about the current instance.
virtual void from_setting (const Setting &root)
 This method arrange instance properties according the data stored in the Setting structure.
virtual void to_setting (Setting &root) const
 This method save all the instance properties into the Setting structure.
Mathematical operations
virtual void bayesB (const mat &Dt)
 Batch Bayes rule (columns of Dt are observations).
virtual double logpred (const vec &dt) const
vec logpred_m (const mat &dt) const
 Matrix version of logpred.
virtual epdfepredictor () const
 Constructs a predictive density $ f(d_{t+1} |d_{t}, \ldots d_{0}) $.
virtual mpdfpredictor () const
 Constructs a conditional density 1-step ahead predictor.
Access to attributes
const RV_drv () const
void set_drv (const RV &rv)
void set_rv (const RV &rv)
double _ll () const
void set_evalll (bool evl0)
virtual const epdfposterior () const =0
virtual const epdf_e () const =0

Protected Attributes

double frg
 forgetting factor
double last_lognc
 cached value of lognc() in the previous step (used in evaluation of ll )
RV drv
 Random variable of the data (optional).
double ll
 Logarithm of marginalized data likelihood.
bool evalll
 If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save computational time.

Extension to conditional BM

This extension is useful e.g. in Marginalized Particle Filter (bdm::MPF). Alternatively, it can be used for automated connection to DS when the condition is observed

const RV_rvc () const
 access function
virtual void condition (const vec &val)
 Substitute val for rvc.
RV rvc
 Name of extension variable.

Logging of results

virtual void set_options (const string &opt)
 Set boolean options from a string recognized are: "logbounds,logll".
virtual void log_add (logger &L, const string &name="")
 Add all logged variables to a logger.
virtual void logit (logger &L)
ivec LIDs
 IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll].
ivec LFlags
 Flags for logging - same size as LIDs, each entry correspond to the same in LIDs.


Detailed Description

Estimator for Exponential family.

Member Function Documentation

void bdm::BMEF::bayes ( const vec &  dt  )  [virtual]

Incremental Bayes rule.

Parameters:
dt vector of input data

Implements bdm::BM.

Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.

References bayes().

virtual double bdm::BM::logpred ( const vec &  dt  )  const [inline, virtual, inherited]

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.

Referenced by bdm::BM::logpred_m().


The documentation for this class was generated from the following files:

Generated on Tue Jun 2 10:11:01 2009 for mixpp by  doxygen 1.5.8