[187] | 1 | <?xml version='1.0' encoding='UTF-8' standalone='no'?> |
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| 2 | <doxygen xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="compound.xsd" version="1.5.6"> |
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| 3 | <compounddef id="classARX" kind="class" prot="public"> |
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| 4 | <compoundname>ARX</compoundname> |
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| 5 | <basecompoundref refid="classBM" prot="public" virt="non-virtual">BM</basecompoundref> |
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| 6 | <includes refid="arx_8h" local="no">arx.h</includes> |
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| 7 | <sectiondef kind="protected-attrib"> |
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| 8 | <memberdef kind="variable" id="classARX_1691d023662beffa1dda611b416c0e27e" prot="protected" static="no" mutable="no"> |
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| 9 | <type><ref refid="classegiw" kindref="compound">egiw</ref></type> |
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| 10 | <definition>egiw ARX::est</definition> |
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| 11 | <argsstring></argsstring> |
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| 12 | <name>est</name> |
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| 13 | <briefdescription> |
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| 14 | <para>Posterior estimate of <formula id="57">$\theta,r$</formula> in the form of Normal-inverse Wishart density. </para> </briefdescription> |
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| 15 | <detaileddescription> |
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| 16 | </detaileddescription> |
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| 17 | <inbodydescription> |
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| 18 | </inbodydescription> |
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| 19 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="39" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="39" bodyend="-1"/> |
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| 20 | <referencedby refid="classARX_19d8eff7a9df81786191a4c55b27e5b8a" compoundref="arx_8h" startline="59" endline="59">_epdf</referencedby> |
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| 21 | <referencedby refid="classARX_15fc6c18e73dcc0f1135eef33f42db8be" compoundref="arx_8h" startline="52" endline="52">ARX</referencedby> |
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| 22 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 23 | <referencedby refid="classARX_129f55b43b8b6f5c4a55f6176aa85c494" compoundref="arx_8h" startline="56" endline="56">get_parameters</referencedby> |
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| 24 | <referencedby refid="classARX_13ccef8dc9dbed00ec74dddc949845d39" compoundref="arx_8h" startline="54" endline="54">set_parameters</referencedby> |
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| 25 | <referencedby refid="classARX_1130bb7336aac681ce14b027b8f1409fa" compoundref="bdm_2estim_2arx_8cpp" startline="82" endline="86">structure_est</referencedby> |
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| 26 | </memberdef> |
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| 27 | <memberdef kind="variable" id="classARX_12291297861dd74ca0175a01f910a0ef7" prot="protected" static="no" mutable="no"> |
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| 28 | <type><ref refid="classldmat" kindref="compound">ldmat</ref> &</type> |
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| 29 | <definition>ldmat& ARX::V</definition> |
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| 30 | <argsstring></argsstring> |
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| 31 | <name>V</name> |
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| 32 | <briefdescription> |
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| 33 | <para>cached value of est.V </para> </briefdescription> |
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| 34 | <detaileddescription> |
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| 35 | </detaileddescription> |
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| 36 | <inbodydescription> |
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| 37 | </inbodydescription> |
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| 38 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="41" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="41" bodyend="-1"/> |
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| 39 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 40 | </memberdef> |
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| 41 | <memberdef kind="variable" id="classARX_1a4182c281098b2d86b62518a7493d9be" prot="protected" static="no" mutable="no"> |
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| 42 | <type>double &</type> |
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| 43 | <definition>double& ARX::nu</definition> |
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| 44 | <argsstring></argsstring> |
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| 45 | <name>nu</name> |
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| 46 | <briefdescription> |
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| 47 | <para>cached value of est.nu </para> </briefdescription> |
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| 48 | <detaileddescription> |
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| 49 | </detaileddescription> |
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| 50 | <inbodydescription> |
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| 51 | </inbodydescription> |
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| 52 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="43" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="43" bodyend="-1"/> |
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| 53 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 54 | </memberdef> |
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| 55 | <memberdef kind="variable" id="classARX_1e467144efb0a5acbc10dba4eff8638fe" prot="protected" static="no" mutable="no"> |
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| 56 | <type>double</type> |
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| 57 | <definition>double ARX::frg</definition> |
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| 58 | <argsstring></argsstring> |
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| 59 | <name>frg</name> |
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| 60 | <briefdescription> |
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| 61 | <para>forgetting factor </para> </briefdescription> |
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| 62 | <detaileddescription> |
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| 63 | </detaileddescription> |
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| 64 | <inbodydescription> |
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| 65 | </inbodydescription> |
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| 66 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="45" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="45" bodyend="-1"/> |
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| 67 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 68 | </memberdef> |
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| 69 | <memberdef kind="variable" id="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" prot="protected" static="no" mutable="no"> |
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| 70 | <type>double</type> |
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| 71 | <definition>double ARX::last_lognc</definition> |
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| 72 | <argsstring></argsstring> |
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| 73 | <name>last_lognc</name> |
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| 74 | <briefdescription> |
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| 75 | <para>cached value of lognc() in the previous step (used in evaluation of <computeroutput>ll</computeroutput> ) </para> </briefdescription> |
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| 76 | <detaileddescription> |
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| 77 | </detaileddescription> |
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| 78 | <inbodydescription> |
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| 79 | </inbodydescription> |
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| 80 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="47" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="47" bodyend="-1"/> |
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| 81 | <referencedby refid="classARX_15fc6c18e73dcc0f1135eef33f42db8be" compoundref="arx_8h" startline="52" endline="52">ARX</referencedby> |
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| 82 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 83 | <referencedby refid="classARX_13ccef8dc9dbed00ec74dddc949845d39" compoundref="arx_8h" startline="54" endline="54">set_parameters</referencedby> |
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| 84 | </memberdef> |
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| 85 | <memberdef kind="variable" id="classARX_164ea7c8ff48bf2548bac3e985e24da19" prot="protected" static="no" mutable="no"> |
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| 86 | <type>double</type> |
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| 87 | <definition>double ARX::tll</definition> |
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| 88 | <argsstring></argsstring> |
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| 89 | <name>tll</name> |
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| 90 | <briefdescription> |
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| 91 | <para>total likelihood </para> </briefdescription> |
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| 92 | <detaileddescription> |
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| 93 | </detaileddescription> |
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| 94 | <inbodydescription> |
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| 95 | </inbodydescription> |
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| 96 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="49" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="49" bodyend="-1"/> |
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| 97 | <referencedby refid="classARX_1b8827048ceec8999849e2ed15400cae7" compoundref="arx_8h" startline="63" endline="63">_tll</referencedby> |
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| 98 | <referencedby refid="classARX_15fc6c18e73dcc0f1135eef33f42db8be" compoundref="arx_8h" startline="52" endline="52">ARX</referencedby> |
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| 99 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 100 | <referencedby refid="classARX_13ccef8dc9dbed00ec74dddc949845d39" compoundref="arx_8h" startline="54" endline="54">set_parameters</referencedby> |
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| 101 | </memberdef> |
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| 102 | <memberdef kind="variable" id="classBM_1af00f0612fabe66241dd507188cdbf88" prot="protected" static="no" mutable="no"> |
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| 103 | <type><ref refid="classRV" kindref="compound">RV</ref></type> |
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| 104 | <definition>RV BM::rv</definition> |
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| 105 | <argsstring></argsstring> |
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| 106 | <name>rv</name> |
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| 107 | <briefdescription> |
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| 108 | <para>Random variable of the posterior. </para> </briefdescription> |
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| 109 | <detaileddescription> |
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| 110 | </detaileddescription> |
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| 111 | <inbodydescription> |
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| 112 | </inbodydescription> |
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| 113 | <location file="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" line="264" bodyfile="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" bodystart="264" bodyend="-1"/> |
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| 114 | <referencedby refid="classBM_1126bd2595c48e311fc2a7ab72876092a" compoundref="libBM_8h" startline="287" endline="287">BM::_rv</referencedby> |
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| 115 | <referencedby refid="classMPF_1fc5e11e11eec3195e3c6503937bf02bd" compoundref="libPF_8h" startline="104" endline="117">MPF< BM_T >::MPF</referencedby> |
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| 116 | <referencedby refid="classEKFfull_1fc753106e0d4cf68e4f2160fd54458c0" compoundref="libKF_8cpp" startline="66" endline="84">EKFfull::set_parameters</referencedby> |
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| 117 | <referencedby refid="classARX_1130bb7336aac681ce14b027b8f1409fa" compoundref="bdm_2estim_2arx_8cpp" startline="82" endline="86">structure_est</referencedby> |
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| 118 | </memberdef> |
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| 119 | <memberdef kind="variable" id="classBM_15623fef6572a08c2b53b8c87b82dc979" prot="protected" static="no" mutable="no"> |
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| 120 | <type>double</type> |
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| 121 | <definition>double BM::ll</definition> |
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| 122 | <argsstring></argsstring> |
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| 123 | <name>ll</name> |
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| 124 | <briefdescription> |
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| 125 | <para>Logarithm of marginalized data likelihood. </para> </briefdescription> |
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| 126 | <detaileddescription> |
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| 127 | </detaileddescription> |
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| 128 | <inbodydescription> |
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| 129 | </inbodydescription> |
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| 130 | <location file="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" line="266" bodyfile="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" bodystart="266" bodyend="-1"/> |
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| 131 | <referencedby refid="classBM_187f4a547d2c29180be88175e5eab9c88" compoundref="libBM_8h" startline="289" endline="289">BM::_ll</referencedby> |
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| 132 | <referencedby refid="classEKFfixed_1ddf5334bc1207658fd53698fffbac028" compoundref="ekf__obj_8cpp" startline="10" endline="38">EKFfixed::bayes</referencedby> |
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| 133 | <referencedby refid="classEKF_1c79c62c9b3e0b56b3aaa1b6f1d9a7af7" compoundref="libKF_8h" startline="364" endline="396">EKF< sq_T >::bayes</referencedby> |
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| 134 | <referencedby refid="classKalman_17750ffd73f261828a32c18aaeb65c75c" compoundref="libKF_8h" startline="302" endline="337">Kalman< sq_T >::bayes</referencedby> |
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| 135 | <referencedby refid="classEKFCh_196f6edda324a0b7ef8b4e86cc7af60c1" compoundref="libKF_8cpp" startline="189" endline="236">EKFCh::bayes</referencedby> |
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| 136 | <referencedby refid="classKalmanCh_1cca758192846940409822b9bd778d4e1" compoundref="libKF_8cpp" startline="128" endline="162">KalmanCh::bayes</referencedby> |
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| 137 | <referencedby refid="classEKFfull_18ca46f177e395fa714bbd8bd29ea43e0" compoundref="libKF_8cpp" startline="86" endline="114">EKFfull::bayes</referencedby> |
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| 138 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 139 | </memberdef> |
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| 140 | <memberdef kind="variable" id="classBM_1bf6fb59b30141074f8ee1e2f43d03129" prot="protected" static="no" mutable="no"> |
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| 141 | <type>bool</type> |
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| 142 | <definition>bool BM::evalll</definition> |
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| 143 | <argsstring></argsstring> |
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| 144 | <name>evalll</name> |
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| 145 | <briefdescription> |
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| 146 | <para>If true, the filter will compute likelihood of the data record and store it in <computeroutput>ll</computeroutput> . Set to false if you want to save time. </para> </briefdescription> |
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| 147 | <detaileddescription> |
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| 148 | </detaileddescription> |
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| 149 | <inbodydescription> |
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| 150 | </inbodydescription> |
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| 151 | <location file="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" line="268" bodyfile="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" bodystart="268" bodyend="-1"/> |
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| 152 | <referencedby refid="classEKFfixed_1ddf5334bc1207658fd53698fffbac028" compoundref="ekf__obj_8cpp" startline="10" endline="38">EKFfixed::bayes</referencedby> |
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| 153 | <referencedby refid="classEKF_1c79c62c9b3e0b56b3aaa1b6f1d9a7af7" compoundref="libKF_8h" startline="364" endline="396">EKF< sq_T >::bayes</referencedby> |
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| 154 | <referencedby refid="classKalman_17750ffd73f261828a32c18aaeb65c75c" compoundref="libKF_8h" startline="302" endline="337">Kalman< sq_T >::bayes</referencedby> |
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| 155 | <referencedby refid="classEKFCh_196f6edda324a0b7ef8b4e86cc7af60c1" compoundref="libKF_8cpp" startline="189" endline="236">EKFCh::bayes</referencedby> |
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| 156 | <referencedby refid="classKalmanCh_1cca758192846940409822b9bd778d4e1" compoundref="libKF_8cpp" startline="128" endline="162">KalmanCh::bayes</referencedby> |
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| 157 | <referencedby refid="classEKFfull_18ca46f177e395fa714bbd8bd29ea43e0" compoundref="libKF_8cpp" startline="86" endline="114">EKFfull::bayes</referencedby> |
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| 158 | <referencedby refid="classARX_1ba82c956ca893826811aefe1e4af465d" compoundref="bdm_2estim_2arx_8cpp" startline="5" endline="24">bayes</referencedby> |
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| 159 | </memberdef> |
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| 160 | </sectiondef> |
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| 161 | <sectiondef kind="public-func"> |
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| 162 | <memberdef kind="function" id="classARX_15fc6c18e73dcc0f1135eef33f42db8be" prot="public" static="no" const="no" explicit="no" inline="yes" virt="non-virtual"> |
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| 163 | <type></type> |
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| 164 | <definition>ARX::ARX</definition> |
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| 165 | <argsstring>(RV &rv, mat &V0, double &nu0, double frg0=1.0)</argsstring> |
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| 166 | <name>ARX</name> |
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| 167 | <param> |
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| 168 | <type><ref refid="classRV" kindref="compound">RV</ref> &</type> |
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| 169 | <declname>rv</declname> |
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| 170 | </param> |
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| 171 | <param> |
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| 172 | <type>mat &</type> |
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| 173 | <declname>V0</declname> |
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| 174 | </param> |
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| 175 | <param> |
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| 176 | <type>double &</type> |
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| 177 | <declname>nu0</declname> |
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| 178 | </param> |
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| 179 | <param> |
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| 180 | <type>double</type> |
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| 181 | <declname>frg0</declname> |
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| 182 | <defval>1.0</defval> |
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| 183 | </param> |
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| 184 | <briefdescription> |
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| 185 | <para>Full constructor. </para> </briefdescription> |
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| 186 | <detaileddescription> |
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| 187 | </detaileddescription> |
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| 188 | <inbodydescription> |
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| 189 | </inbodydescription> |
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| 190 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="52" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="52" bodyend="52"/> |
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| 191 | <references refid="classARX_1691d023662beffa1dda611b416c0e27e" compoundref="arx_8h" startline="39">est</references> |
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| 192 | <references refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" compoundref="arx_8h" startline="47">last_lognc</references> |
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| 193 | <references refid="classegiw_170eb1a0b88459b227f919b425b0d3359" compoundref="libEF_8cpp" startline="31" endline="38">egiw::lognc</references> |
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| 194 | <references refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" compoundref="arx_8h" startline="49">tll</references> |
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| 195 | </memberdef> |
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| 196 | <memberdef kind="function" id="classARX_13ccef8dc9dbed00ec74dddc949845d39" prot="public" static="no" const="no" explicit="no" inline="yes" virt="non-virtual"> |
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| 197 | <type>void</type> |
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| 198 | <definition>void ARX::set_parameters</definition> |
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| 199 | <argsstring>(mat &V0, double &nu0)</argsstring> |
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| 200 | <name>set_parameters</name> |
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| 201 | <param> |
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| 202 | <type>mat &</type> |
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| 203 | <declname>V0</declname> |
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| 204 | </param> |
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| 205 | <param> |
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| 206 | <type>double &</type> |
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| 207 | <declname>nu0</declname> |
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| 208 | </param> |
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| 209 | <briefdescription> |
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| 210 | <para>Set sufficient statistics. </para> </briefdescription> |
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| 211 | <detaileddescription> |
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| 212 | </detaileddescription> |
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| 213 | <inbodydescription> |
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| 214 | </inbodydescription> |
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| 215 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="54" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="54" bodyend="54"/> |
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| 216 | <references refid="classegiw_108029c481ff95d24f093df0573879afe" compoundref="libEF_8h" startline="138" endline="138">egiw::_nu</references> |
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| 217 | <references refid="classegiw_1533e792e1175bfa06d5d595dc5d080d5" compoundref="libEF_8h" startline="136" endline="136">egiw::_V</references> |
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| 218 | <references refid="classARX_1691d023662beffa1dda611b416c0e27e" compoundref="arx_8h" startline="39">est</references> |
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| 219 | <references refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" compoundref="arx_8h" startline="47">last_lognc</references> |
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| 220 | <references refid="classegiw_170eb1a0b88459b227f919b425b0d3359" compoundref="libEF_8cpp" startline="31" endline="38">egiw::lognc</references> |
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| 221 | <references refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" compoundref="arx_8h" startline="49">tll</references> |
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| 222 | </memberdef> |
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| 223 | <memberdef kind="function" id="classARX_129f55b43b8b6f5c4a55f6176aa85c494" prot="public" static="no" const="no" explicit="no" inline="yes" virt="non-virtual"> |
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| 224 | <type>void</type> |
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| 225 | <definition>void ARX::get_parameters</definition> |
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| 226 | <argsstring>(mat &V0, double &nu0)</argsstring> |
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| 227 | <name>get_parameters</name> |
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| 228 | <param> |
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| 229 | <type>mat &</type> |
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| 230 | <declname>V0</declname> |
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| 231 | </param> |
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| 232 | <param> |
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| 233 | <type>double &</type> |
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| 234 | <declname>nu0</declname> |
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| 235 | </param> |
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| 236 | <briefdescription> |
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| 237 | <para>Returns sufficient statistics. </para> </briefdescription> |
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| 238 | <detaileddescription> |
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| 239 | </detaileddescription> |
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| 240 | <inbodydescription> |
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| 241 | </inbodydescription> |
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| 242 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="56" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="56" bodyend="56"/> |
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| 243 | <references refid="classegiw_108029c481ff95d24f093df0573879afe" compoundref="libEF_8h" startline="138" endline="138">egiw::_nu</references> |
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| 244 | <references refid="classegiw_1533e792e1175bfa06d5d595dc5d080d5" compoundref="libEF_8h" startline="136" endline="136">egiw::_V</references> |
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| 245 | <references refid="classARX_1691d023662beffa1dda611b416c0e27e" compoundref="arx_8h" startline="39">est</references> |
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| 246 | <references refid="classldmat_15b0515da8dc2293d9e4360b74cc26c9e" compoundref="libDC_8cpp" startline="80" endline="101">ldmat::to_mat</references> |
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| 247 | </memberdef> |
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| 248 | <memberdef kind="function" id="classARX_1ba82c956ca893826811aefe1e4af465d" prot="public" static="no" const="no" explicit="no" inline="no" virt="virtual"> |
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| 249 | <type>void</type> |
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| 250 | <definition>void ARX::bayes</definition> |
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| 251 | <argsstring>(const vec &dt)</argsstring> |
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| 252 | <name>bayes</name> |
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| 253 | <reimplements refid="classBM_1a892eff438aab2dd1a9e2efcb7fb5bdf">bayes</reimplements> |
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| 254 | <param> |
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| 255 | <type>const vec &</type> |
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| 256 | <declname>dt</declname> |
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| 257 | </param> |
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| 258 | <briefdescription> |
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| 259 | <para>Here <formula id="58">$dt = [y_t psi_t] $</formula>. </para> </briefdescription> |
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| 260 | <detaileddescription> |
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| 261 | </detaileddescription> |
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| 262 | <inbodydescription> |
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| 263 | </inbodydescription> |
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| 264 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="58" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.cpp" bodystart="5" bodyend="24"/> |
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| 265 | <references refid="classARX_1691d023662beffa1dda611b416c0e27e" compoundref="arx_8h" startline="39">est</references> |
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| 266 | <references refid="classBM_1bf6fb59b30141074f8ee1e2f43d03129" compoundref="libBM_8h" startline="268">BM::evalll</references> |
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| 267 | <references refid="classARX_1e467144efb0a5acbc10dba4eff8638fe" compoundref="arx_8h" startline="45">frg</references> |
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| 268 | <references refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" compoundref="arx_8h" startline="47">last_lognc</references> |
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| 269 | <references refid="classBM_15623fef6572a08c2b53b8c87b82dc979" compoundref="libBM_8h" startline="266">BM::ll</references> |
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| 270 | <references refid="classegiw_170eb1a0b88459b227f919b425b0d3359" compoundref="libEF_8cpp" startline="31" endline="38">egiw::lognc</references> |
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| 271 | <references refid="classARX_1a4182c281098b2d86b62518a7493d9be" compoundref="arx_8h" startline="43">nu</references> |
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| 272 | <references refid="classldmat_10f0f6e083e6d947cf58097ffce3ccd1a" compoundref="libDC_8cpp" startline="58" endline="72">ldmat::opupdt</references> |
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| 273 | <references refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" compoundref="arx_8h" startline="49">tll</references> |
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| 274 | <references refid="classARX_12291297861dd74ca0175a01f910a0ef7" compoundref="arx_8h" startline="41">V</references> |
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| 275 | </memberdef> |
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| 276 | <memberdef kind="function" id="classARX_19d8eff7a9df81786191a4c55b27e5b8a" prot="public" static="no" const="no" explicit="no" inline="yes" virt="virtual"> |
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| 277 | <type><ref refid="classepdf" kindref="compound">epdf</ref> &</type> |
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| 278 | <definition>epdf& ARX::_epdf</definition> |
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| 279 | <argsstring>()</argsstring> |
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| 280 | <name>_epdf</name> |
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| 281 | <reimplements refid="classBM_13dc45554556926bde996a267636abe55">_epdf</reimplements> |
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| 282 | <briefdescription> |
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| 283 | <para>Returns a pointer to the <ref refid="classepdf" kindref="compound">epdf</ref> representing posterior density on parameters. Use with care! </para> </briefdescription> |
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| 284 | <detaileddescription> |
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| 285 | </detaileddescription> |
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| 286 | <inbodydescription> |
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| 287 | </inbodydescription> |
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| 288 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="59" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="59" bodyend="59"/> |
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| 289 | <references refid="classARX_1691d023662beffa1dda611b416c0e27e" compoundref="arx_8h" startline="39">est</references> |
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| 290 | </memberdef> |
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| 291 | <memberdef kind="function" id="classARX_1130bb7336aac681ce14b027b8f1409fa" prot="public" static="no" const="no" explicit="no" inline="no" virt="non-virtual"> |
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| 292 | <type>ivec</type> |
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| 293 | <definition>ivec ARX::structure_est</definition> |
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| 294 | <argsstring>(egiw Eg0)</argsstring> |
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| 295 | <name>structure_est</name> |
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| 296 | <param> |
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| 297 | <type><ref refid="classegiw" kindref="compound">egiw</ref></type> |
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| 298 | <declname>Eg0</declname> |
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| 299 | </param> |
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| 300 | <briefdescription> |
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| 301 | <para>Brute force structure estimation. </para> </briefdescription> |
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| 302 | <detaileddescription> |
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| 303 | <para><simplesect kind="return"><para>indeces of accepted regressors. </para></simplesect> |
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| 304 | </para> </detaileddescription> |
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| 305 | <inbodydescription> |
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| 306 | </inbodydescription> |
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| 307 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="61" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.cpp" bodystart="82" bodyend="86"/> |
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| 308 | <references refid="classRV_1f5c7b8bd589eef09ccdf3329a0addea0" compoundref="libBM_8h" startline="69" endline="69">RV::count</references> |
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| 309 | <references refid="classARX_1691d023662beffa1dda611b416c0e27e" compoundref="arx_8h" startline="39">est</references> |
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| 310 | <references refid="classegiw_170eb1a0b88459b227f919b425b0d3359" compoundref="libEF_8cpp" startline="31" endline="38">egiw::lognc</references> |
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| 311 | <references refid="classBM_1af00f0612fabe66241dd507188cdbf88" compoundref="libBM_8h" startline="264">BM::rv</references> |
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| 312 | </memberdef> |
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| 313 | <memberdef kind="function" id="classARX_1b8827048ceec8999849e2ed15400cae7" prot="public" static="no" const="no" explicit="no" inline="yes" virt="non-virtual"> |
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| 314 | <type>double</type> |
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| 315 | <definition>double ARX::_tll</definition> |
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| 316 | <argsstring>()</argsstring> |
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| 317 | <name>_tll</name> |
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| 318 | <briefdescription> |
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| 319 | <para>access function </para> </briefdescription> |
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| 320 | <detaileddescription> |
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| 321 | </detaileddescription> |
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| 322 | <inbodydescription> |
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| 323 | </inbodydescription> |
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| 324 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="63" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="63" bodyend="63"/> |
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| 325 | <references refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" compoundref="arx_8h" startline="49">tll</references> |
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| 326 | </memberdef> |
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| 327 | <memberdef kind="function" id="classBM_187b07867fd4c133aa89a18543f68d9f9" prot="public" static="no" const="no" explicit="no" inline="no" virt="non-virtual"> |
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| 328 | <type>void</type> |
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| 329 | <definition>void BM::bayes</definition> |
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| 330 | <argsstring>(mat Dt)</argsstring> |
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| 331 | <name>bayes</name> |
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| 332 | <param> |
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| 333 | <type>mat</type> |
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| 334 | <declname>Dt</declname> |
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| 335 | </param> |
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| 336 | <briefdescription> |
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| 337 | <para>Batch Bayes rule (columns of Dt are observations). </para> </briefdescription> |
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| 338 | <detaileddescription> |
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| 339 | </detaileddescription> |
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| 340 | <inbodydescription> |
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| 341 | </inbodydescription> |
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| 342 | <location file="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" line="280"/> |
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| 343 | </memberdef> |
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| 344 | <memberdef kind="function" id="classBM_1126bd2595c48e311fc2a7ab72876092a" prot="public" static="no" const="yes" explicit="no" inline="yes" virt="non-virtual"> |
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| 345 | <type>const <ref refid="classRV" kindref="compound">RV</ref> &</type> |
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| 346 | <definition>const RV& BM::_rv</definition> |
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| 347 | <argsstring>() const </argsstring> |
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| 348 | <name>_rv</name> |
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| 349 | <briefdescription> |
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| 350 | <para>access function </para> </briefdescription> |
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| 351 | <detaileddescription> |
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| 352 | </detaileddescription> |
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| 353 | <inbodydescription> |
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| 354 | </inbodydescription> |
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| 355 | <location file="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" line="287" bodyfile="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" bodystart="287" bodyend="287"/> |
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| 356 | <references refid="classBM_1af00f0612fabe66241dd507188cdbf88" compoundref="libBM_8h" startline="264">BM::rv</references> |
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| 357 | </memberdef> |
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| 358 | <memberdef kind="function" id="classBM_187f4a547d2c29180be88175e5eab9c88" prot="public" static="no" const="yes" explicit="no" inline="yes" virt="non-virtual"> |
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| 359 | <type>double</type> |
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| 360 | <definition>double BM::_ll</definition> |
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| 361 | <argsstring>() const </argsstring> |
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| 362 | <name>_ll</name> |
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| 363 | <briefdescription> |
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| 364 | <para>access function </para> </briefdescription> |
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| 365 | <detaileddescription> |
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| 366 | </detaileddescription> |
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| 367 | <inbodydescription> |
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| 368 | </inbodydescription> |
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| 369 | <location file="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" line="289" bodyfile="/home/smidl/work/git/mixpp/bdm/stat/libBM.h" bodystart="289" bodyend="289"/> |
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| 370 | <references refid="classBM_15623fef6572a08c2b53b8c87b82dc979" compoundref="libBM_8h" startline="266">BM::ll</references> |
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| 371 | </memberdef> |
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| 372 | </sectiondef> |
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| 373 | <briefdescription> |
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| 374 | <para>Linear Autoregressive model with Gaussian noise. </para> </briefdescription> |
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| 375 | <detaileddescription> |
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| 376 | <para>Regression of the following kind: <formula id="61">\[ y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t \]</formula> where unknown parameters <computeroutput>rv</computeroutput> are <formula id="51">$[\theta r]$</formula>, regression vector <formula id="52">$\psi=\psi(y_{1:t},u_{1:t})$</formula> is a known function of past outputs and exogeneous variables <formula id="53">$u_t$</formula>. Distrubances <formula id="54">$e_t$</formula> are supposed to be normally distributed: <formula id="62">\[ e_t \sim \mathcal{N}(0,1). \]</formula></para><para>Extension for time-variant parameters <formula id="55">$\theta_t,r_t$</formula> may be achived using exponential forgetting (Kulhavy and Zarrop, 1993). In such a case, the forgetting factor <computeroutput>frg</computeroutput> <formula id="56">$\in <0,1>$</formula> should be given in the constructor. Time-invariant parameters are estimated for <computeroutput>frg</computeroutput> = 1. </para> </detaileddescription> |
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| 377 | <inheritancegraph> |
---|
| 378 | <node id="627"> |
---|
| 379 | <label>BM</label> |
---|
| 380 | <link refid="classBM"/> |
---|
| 381 | </node> |
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| 382 | <node id="626"> |
---|
| 383 | <label>ARX</label> |
---|
| 384 | <link refid="classARX"/> |
---|
| 385 | <childnode refid="627" relation="public-inheritance"> |
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| 386 | </childnode> |
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| 387 | </node> |
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| 388 | </inheritancegraph> |
---|
| 389 | <collaborationgraph> |
---|
| 390 | <node id="631"> |
---|
| 391 | <label>ldmat</label> |
---|
| 392 | <link refid="classldmat"/> |
---|
| 393 | <childnode refid="632" relation="private-inheritance"> |
---|
| 394 | </childnode> |
---|
| 395 | </node> |
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| 396 | <node id="635"> |
---|
| 397 | <label>epdf</label> |
---|
| 398 | <link refid="classepdf"/> |
---|
| 399 | <childnode refid="630" relation="usage"> |
---|
| 400 | <edgelabel>rv</edgelabel> |
---|
| 401 | </childnode> |
---|
| 402 | </node> |
---|
| 403 | <node id="629"> |
---|
| 404 | <label>BM</label> |
---|
| 405 | <link refid="classBM"/> |
---|
| 406 | <childnode refid="630" relation="usage"> |
---|
| 407 | <edgelabel>rv</edgelabel> |
---|
| 408 | </childnode> |
---|
| 409 | </node> |
---|
| 410 | <node id="630"> |
---|
| 411 | <label>RV</label> |
---|
| 412 | <link refid="classRV"/> |
---|
| 413 | </node> |
---|
| 414 | <node id="632"> |
---|
| 415 | <label>sqmat</label> |
---|
| 416 | <link refid="classsqmat"/> |
---|
| 417 | </node> |
---|
| 418 | <node id="634"> |
---|
| 419 | <label>eEF</label> |
---|
| 420 | <link refid="classeEF"/> |
---|
| 421 | <childnode refid="635" relation="public-inheritance"> |
---|
| 422 | </childnode> |
---|
| 423 | </node> |
---|
| 424 | <node id="628"> |
---|
| 425 | <label>ARX</label> |
---|
| 426 | <link refid="classARX"/> |
---|
| 427 | <childnode refid="629" relation="public-inheritance"> |
---|
| 428 | </childnode> |
---|
| 429 | <childnode refid="631" relation="usage"> |
---|
| 430 | <edgelabel>V</edgelabel> |
---|
| 431 | </childnode> |
---|
| 432 | <childnode refid="633" relation="usage"> |
---|
| 433 | <edgelabel>est</edgelabel> |
---|
| 434 | </childnode> |
---|
| 435 | </node> |
---|
| 436 | <node id="633"> |
---|
| 437 | <label>egiw</label> |
---|
| 438 | <link refid="classegiw"/> |
---|
| 439 | <childnode refid="634" relation="public-inheritance"> |
---|
| 440 | </childnode> |
---|
| 441 | <childnode refid="631" relation="usage"> |
---|
| 442 | <edgelabel>V</edgelabel> |
---|
| 443 | </childnode> |
---|
| 444 | </node> |
---|
| 445 | </collaborationgraph> |
---|
| 446 | <location file="/home/smidl/work/git/mixpp/bdm/estim/arx.h" line="36" bodyfile="/home/smidl/work/git/mixpp/bdm/estim/arx.h" bodystart="36" bodyend="64"/> |
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| 447 | <listofallmembers> |
---|
| 448 | <member refid="classARX_19d8eff7a9df81786191a4c55b27e5b8a" prot="public" virt="virtual"><scope>ARX</scope><name>_epdf</name></member> |
---|
| 449 | <member refid="classBM_187f4a547d2c29180be88175e5eab9c88" prot="public" virt="non-virtual"><scope>ARX</scope><name>_ll</name></member> |
---|
| 450 | <member refid="classBM_1126bd2595c48e311fc2a7ab72876092a" prot="public" virt="non-virtual"><scope>ARX</scope><name>_rv</name></member> |
---|
| 451 | <member refid="classARX_1b8827048ceec8999849e2ed15400cae7" prot="public" virt="non-virtual"><scope>ARX</scope><name>_tll</name></member> |
---|
| 452 | <member refid="classARX_15fc6c18e73dcc0f1135eef33f42db8be" prot="public" virt="non-virtual"><scope>ARX</scope><name>ARX</name></member> |
---|
| 453 | <member refid="classARX_1ba82c956ca893826811aefe1e4af465d" prot="public" virt="virtual"><scope>ARX</scope><name>bayes</name></member> |
---|
| 454 | <member refid="classBM_187b07867fd4c133aa89a18543f68d9f9" prot="public" virt="non-virtual" ambiguityscope="BM::"><scope>ARX</scope><name>bayes</name></member> |
---|
| 455 | <member refid="classBM_1605d28b426adb677c86a57ddb525132a" prot="public" virt="non-virtual"><scope>ARX</scope><name>BM</name></member> |
---|
| 456 | <member refid="classARX_1691d023662beffa1dda611b416c0e27e" prot="protected" virt="non-virtual"><scope>ARX</scope><name>est</name></member> |
---|
| 457 | <member refid="classBM_1bf6fb59b30141074f8ee1e2f43d03129" prot="protected" virt="non-virtual"><scope>ARX</scope><name>evalll</name></member> |
---|
| 458 | <member refid="classARX_1e467144efb0a5acbc10dba4eff8638fe" prot="protected" virt="non-virtual"><scope>ARX</scope><name>frg</name></member> |
---|
| 459 | <member refid="classARX_129f55b43b8b6f5c4a55f6176aa85c494" prot="public" virt="non-virtual"><scope>ARX</scope><name>get_parameters</name></member> |
---|
| 460 | <member refid="classARX_16d0cd0f0734aa77cdc5e48f1cf6737ec" prot="protected" virt="non-virtual"><scope>ARX</scope><name>last_lognc</name></member> |
---|
| 461 | <member refid="classBM_15623fef6572a08c2b53b8c87b82dc979" prot="protected" virt="non-virtual"><scope>ARX</scope><name>ll</name></member> |
---|
| 462 | <member refid="classARX_1a4182c281098b2d86b62518a7493d9be" prot="protected" virt="non-virtual"><scope>ARX</scope><name>nu</name></member> |
---|
| 463 | <member refid="classBM_1af00f0612fabe66241dd507188cdbf88" prot="protected" virt="non-virtual"><scope>ARX</scope><name>rv</name></member> |
---|
| 464 | <member refid="classARX_13ccef8dc9dbed00ec74dddc949845d39" prot="public" virt="non-virtual"><scope>ARX</scope><name>set_parameters</name></member> |
---|
| 465 | <member refid="classARX_1130bb7336aac681ce14b027b8f1409fa" prot="public" virt="non-virtual"><scope>ARX</scope><name>structure_est</name></member> |
---|
| 466 | <member refid="classARX_164ea7c8ff48bf2548bac3e985e24da19" prot="protected" virt="non-virtual"><scope>ARX</scope><name>tll</name></member> |
---|
| 467 | <member refid="classARX_12291297861dd74ca0175a01f910a0ef7" prot="protected" virt="non-virtual"><scope>ARX</scope><name>V</name></member> |
---|
| 468 | <member refid="classBM_1ca0f02b3b4144e0895cc14f7e0374bdd" prot="public" virt="virtual"><scope>ARX</scope><name>~BM</name></member> |
---|
| 469 | </listofallmembers> |
---|
| 470 | </compounddef> |
---|
| 471 | </doxygen> |
---|