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3<title>mixpp: bdm::ARX Class Reference</title>
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[259]49<div class="navigation" id="top">
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[271]52      <li><a href="main.html"><span>Main&nbsp;Page</span></a></li>
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[259]63      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
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[271]67  <div class="navpath"><b>bdm</b>::<a class="el" href="classbdm_1_1ARX.html">ARX</a>
[259]68  </div>
69</div>
70<div class="contents">
[290]71<h1>bdm::ARX Class Reference</h1><!-- doxytag: class="bdm::ARX" --><!-- doxytag: inherits="bdm::BMEF" -->Linear Autoregressive model with Gaussian noise. 
72<a href="#_details">More...</a>
[259]73<p>
[398]74<code>#include &lt;<a class="el" href="arx_8h-source.html">arx.h</a>&gt;</code>
[290]75<p>
[259]76
77<p>
[290]78<a href="classbdm_1_1ARX-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
[259]79<tr><td></td></tr>
80<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
[271]81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="539f9d0127423c94b912708d390e67b8"></a><!-- doxytag: member="bdm::ARX::set_statistics" ref="539f9d0127423c94b912708d390e67b8" args="(const BMEF *BM0)" -->
82void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#539f9d0127423c94b912708d390e67b8">set_statistics</a> (const <a class="el" href="classbdm_1_1BMEF.html">BMEF</a> *BM0)</td></tr>
83
84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set sufficient statistics. <br></td></tr>
[396]85<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#9637412df898048bafaefee9dc7e9f6c">from_setting</a> (const Setting &amp;set)</td></tr>
[353]86
[396]87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="af0e6941ba5919cae1bc530e2181b109"></a><!-- doxytag: member="bdm::ARX::to_string" ref="af0e6941ba5919cae1bc530e2181b109" args="()" -->
88virtual string&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#af0e6941ba5919cae1bc530e2181b109">to_string</a> ()</td></tr>
[368]89
[353]90<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method returns a basic info about the current instance. <br></td></tr>
[396]91<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67d954d255ede776eade7334d4895790"></a><!-- doxytag: member="bdm::ARX::to_setting" ref="67d954d255ede776eade7334d4895790" args="(Setting &amp;set) const " -->
92virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#67d954d255ede776eade7334d4895790">to_setting</a> (Setting &amp;set) const </td></tr>
[353]93
94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method save all the instance properties into the Setting structure. <br></td></tr>
[396]95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1c314bd6d6dacb8ba78ea5eb88fd9516"></a><!-- doxytag: member="bdm::ARX::validate" ref="1c314bd6d6dacb8ba78ea5eb88fd9516" args="()" -->
96virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#1c314bd6d6dacb8ba78ea5eb88fd9516">validate</a> ()</td></tr>
[368]97
98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">This method TODO. <br></td></tr>
[271]99<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
[270]100<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)" -->
[271]101&nbsp;</td><td class="memItemRight" valign="bottom"><b>ARX</b> (const double frg0=1.0)</td></tr>
[259]102
103<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)" -->
[271]104&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>
[259]105
[290]106<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ca0b54c0997cfd567f49377af5def106"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="ca0b54c0997cfd567f49377af5def106" args="() const " -->
107<a class="el" href="classbdm_1_1ARX.html">ARX</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#ca0b54c0997cfd567f49377af5def106">_copy_</a> () const </td></tr>
[259]108
[290]109<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior as if to keep nu0 data. <br></td></tr>
[271]110<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)" -->
111void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (double frg0)</td></tr>
[259]112
[290]113<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f859f53eab269845a9064bbd92f841af"></a><!-- doxytag: member="bdm::ARX::set_statistics" ref="f859f53eab269845a9064bbd92f841af" args="(int dimx0, const ldmat V0, double nu0=&#45;1.0)" -->
[271]114void&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>
[259]115
[271]116<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[259]117<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)" -->
118void&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>
119
[397]120<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Weighted Bayes <img class="formulaInl" alt="$ dt = [y_t psi_t] $" src="form_28.png">. <br></td></tr>
[259]121<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>
122
123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#8bdf2974052e8ce74eb0d4f3791c58a3"></a><br></td></tr>
124<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>
125
126<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)" -->
127void&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>
128
129<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>
[270]130<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 " -->
131<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>
[259]132
[261]133<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conditioned version of the predictor. <br></td></tr>
[270]134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4cdf5e2a7d3480ec31f6247ed4289b15"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="4cdf5e2a7d3480ec31f6247ed4289b15" args="() const " -->
135<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>
[259]136
[271]137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Predictor for empty regressor. <br></td></tr>
[270]138<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>
[259]139
[270]140<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">conditional version of the predictor  <a href="#74fe8ae2d88bee8639510fd0eaf73513"></a><br></td></tr>
141<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 " -->
142<a class="el" href="classbdm_1_1mlstudent.html">mlstudent</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>predictor_student</b> () const </td></tr>
[259]143
144<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>
145
146<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Brute force structure estimation.  <a href="#16b02ae03316751664c22d59d90c1e34"></a><br></td></tr>
[271]147<tr><td colspan="2"><div class="groupHeader">Access attributes</div></td></tr>
[259]148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab2c55205a324e9d698fbd8ac229ad4f"></a><!-- doxytag: member="bdm::ARX::_e" ref="ab2c55205a324e9d698fbd8ac229ad4f" args="() const " -->
[270]149const <a class="el" href="classbdm_1_1egiw.html">egiw</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr>
[259]150
[271]151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a96a50d212648f049122a31d9553618"></a><!-- doxytag: member="bdm::ARX::posterior" ref="5a96a50d212648f049122a31d9553618" args="() const " -->
152const <a class="el" href="classbdm_1_1egiw.html">egiw</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>posterior</b> () const </td></tr>
[270]153
[271]154<tr><td colspan="2"><div class="groupHeader">Connection</div></td></tr>
155<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)" -->
156void&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>
157
158<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b96872783ab72e135b7b9ee26ef0577"></a><!-- doxytag: member="bdm::ARX::get_yrv" ref="7b96872783ab72e135b7b9ee26ef0577" args="()" -->
159<a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>get_yrv</b> ()</td></tr>
160
[270]161<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr>
[259]162<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)" -->
163virtual 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>
164
165<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr>
166<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 " -->
167vec&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>
168
169<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr>
[270]170<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr>
[269]171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::ARX::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " -->
[270]172const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr>
[269]173
[271]174<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)" -->
175void&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>
[269]176
[259]177<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::ARX::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " -->
[270]178double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr>
[259]179
180<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)" -->
[270]181void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr>
[259]182
183<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
[271]184<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8e68db2a218d54b09304cad6c0a897d9"></a><!-- doxytag: member="bdm::ARX::dimx" ref="8e68db2a218d54b09304cad6c0a897d9" args="" -->
185int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#8e68db2a218d54b09304cad6c0a897d9">dimx</a></td></tr>
186
187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">size of output variable (needed in regressors) <br></td></tr>
188<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>
189
[259]190<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11474a627367f81b76830cb8477cf026"></a><!-- doxytag: member="bdm::ARX::est" ref="11474a627367f81b76830cb8477cf026" args="" -->
191<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>
192
[397]193<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Posterior estimate of <img class="formulaInl" alt="$\theta,r$" src="form_27.png"> in the form of Normal-inverse Wishart density. <br></td></tr>
[259]194<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de5b7d83ff5d3f5af2f80068db0abdfd"></a><!-- doxytag: member="bdm::ARX::V" ref="de5b7d83ff5d3f5af2f80068db0abdfd" args="" -->
195<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>
196
197<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.V <br></td></tr>
198<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="740b0582f180ba13cae91d66e9bdb67f"></a><!-- doxytag: member="bdm::ARX::nu" ref="740b0582f180ba13cae91d66e9bdb67f" args="" -->
199double &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">nu</a></td></tr>
200
201<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of est.nu <br></td></tr>
202<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1331865e10fb1ccef65bb4c47fa3be64"></a><!-- doxytag: member="bdm::ARX::frg" ref="1331865e10fb1ccef65bb4c47fa3be64" args="" -->
203double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64">frg</a></td></tr>
204
205<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">forgetting factor <br></td></tr>
206<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06e7b3ac03e10017d4288c76888e2865"></a><!-- doxytag: member="bdm::ARX::last_lognc" ref="06e7b3ac03e10017d4288c76888e2865" args="" -->
207double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865">last_lognc</a></td></tr>
208
209<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>
[269]210<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::ARX::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" -->
211<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>
212
213<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr>
[259]214<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::ARX::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" -->
215double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr>
216
217<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr>
218<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::ARX::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" -->
219bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr>
220
221<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>
[290]222<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr>
223<tr><td colspan="2">This extension is useful e.g. in Marginalized Particle Filter (<a class="el" href="classbdm_1_1MPF.html">bdm::MPF</a>). Alternatively, it can be used for automated connection to <a class="el" href="classbdm_1_1DS.html" title="Abstract class for discrete-time sources of data.">DS</a> when the condition is observed <br><br></td></tr>
224<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5e8e016be16e4029c789063cb3f3b33"></a><!-- doxytag: member="bdm::ARX::_rvc" ref="b5e8e016be16e4029c789063cb3f3b33" args="() const " -->
225const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#b5e8e016be16e4029c789063cb3f3b33">_rvc</a> () const </td></tr>
[271]226
[290]227<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr>
228<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6799f4b16a6a59ed58b1d0d6e17116f4"></a><!-- doxytag: member="bdm::ARX::condition" ref="6799f4b16a6a59ed58b1d0d6e17116f4" args="(const vec &amp;val)" -->
229virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#6799f4b16a6a59ed58b1d0d6e17116f4">condition</a> (const vec &amp;val)</td></tr>
[271]230
[290]231<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Substitute <code>val</code> for <code>rvc</code>. <br></td></tr>
232<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de95c590d650b2db423d53992f0906cb"></a><!-- doxytag: member="bdm::ARX::rvc" ref="de95c590d650b2db423d53992f0906cb" 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#de95c590d650b2db423d53992f0906cb">rvc</a></td></tr>
234
235<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Name of extension variable. <br></td></tr>
236<tr><td colspan="2"><br><h2>Logging of results</h2></td></tr>
[353]237<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="adb539fa2585c8a2a91c54e5aebf330e"></a><!-- doxytag: member="bdm::ARX::set_options" ref="adb539fa2585c8a2a91c54e5aebf330e" args="(const string &amp;opt)" -->
238virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#adb539fa2585c8a2a91c54e5aebf330e">set_options</a> (const string &amp;opt)</td></tr>
[290]239
[353]240<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set boolean options from a string recognized are: "logbounds,logll". <br></td></tr>
[323]241<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2298ca6af9b13a78a4c9e18ab43f1827"></a><!-- doxytag: member="bdm::ARX::log_add" ref="2298ca6af9b13a78a4c9e18ab43f1827" args="(logger &amp;L, const string &amp;name=&quot;&quot;)" -->
242virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#2298ca6af9b13a78a4c9e18ab43f1827">log_add</a> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L, const string &amp;name=&quot;&quot;)</td></tr>
[290]243
244<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Add all logged variables to a <a class="el" href="classbdm_1_1logger.html" title="Class for storing results (and semi-results) of an experiment.">logger</a>. <br></td></tr>
[323]245<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b517e1679eaa94e803ea4cd0b8efbcd7"></a><!-- doxytag: member="bdm::ARX::logit" ref="b517e1679eaa94e803ea4cd0b8efbcd7" args="(logger &amp;L)" -->
246virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>logit</b> (<a class="el" href="classbdm_1_1logger.html">logger</a> &amp;L)</td></tr>
[290]247
248<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="109c1a626a69031658e3a44e9e500cca"></a><!-- doxytag: member="bdm::ARX::LIDs" ref="109c1a626a69031658e3a44e9e500cca" args="" -->
249ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#109c1a626a69031658e3a44e9e500cca">LIDs</a></td></tr>
250
[353]251<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll]. <br></td></tr>
252<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="398b7e7a162cf37d0022d6126495f207"></a><!-- doxytag: member="bdm::ARX::LFlags" ref="398b7e7a162cf37d0022d6126495f207" args="" -->
253ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#398b7e7a162cf37d0022d6126495f207">LFlags</a></td></tr>
[290]254
[353]255<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flags for logging - same size as LIDs, each entry correspond to the same in LIDs. <br></td></tr>
[290]256</table>
257<hr><a name="_details"></a><h2>Detailed Description</h2>
258Linear Autoregressive model with Gaussian noise.
259<p>
260Regression of the following kind: <p class="formulaDsp">
[397]261<img class="formulaDsp" alt="\[ y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t \]" src="form_20.png">
[290]262<p>
[397]263 where unknown parameters <code>rv</code> are <img class="formulaInl" alt="$[\theta r]$" src="form_21.png">, regression vector <img class="formulaInl" alt="$\psi=\psi(y_{1:t},u_{1:t})$" src="form_22.png"> is a known function of past outputs and exogeneous variables <img class="formulaInl" alt="$u_t$" src="form_23.png">. Distrubances <img class="formulaInl" alt="$e_t$" src="form_24.png"> are supposed to be normally distributed: <p class="formulaDsp">
264<img class="formulaDsp" alt="\[ e_t \sim \mathcal{N}(0,1). \]" src="form_25.png">
[290]265<p>
266<p>
267See <a class="el" href="tut_arx.html">Theory of ARX model estimation</a> for mathematical treatment.<p>
[396]268The easiest way how to use the class is: <div class="fragment"><pre class="fragment"><span class="preprocessor">#include "<a class="code" href="arx_8h.html" title="Bayesian Filtering for generalized autoregressive (ARX) model.">estim/arx.h</a>"</span>
[290]269<span class="keyword">using namespace </span>bdm;
270       
271<span class="comment">// estimation of AR(0) model</span>
272<span class="keywordtype">int</span> main() {
273        <span class="comment">//prior </span>
274        mat V0 = 0.00001*eye(2); V0(0,0)= 0.1; <span class="comment">//</span>
275        ARX Ar;
276        Ar.set_statistics(1, V0); <span class="comment">//nu is default (set to have finite moments)</span>
277                                                          <span class="comment">// forgetting is default: 1.0</span>
[354]278        mat Data = concat_vertical( randn(1,100), ones(1,100) );
[290]279        Ar.bayesB( Data);
280                       
281        cout &lt;&lt; <span class="stringliteral">"Expected value of Theta is: "</span> &lt;&lt; Ar.posterior().mean() &lt;&lt;endl;
282}
[396]283</pre></div><p>
[397]284<dl compact><dt><b><a class="el" href="todo.html#_todo000002">Todo:</a></b></dt><dd>sort out constant terms - bayes should accept vec without additional 1s </dd></dl>
[396]285<hr><h2>Member Function Documentation</h2>
[259]286<a class="anchor" name="8bdf2974052e8ce74eb0d4f3791c58a3"></a><!-- doxytag: member="bdm::ARX::bayes" ref="8bdf2974052e8ce74eb0d4f3791c58a3" args="(const vec &amp;dt)" -->
287<div class="memitem">
288<div class="memproto">
289      <table class="memname">
290        <tr>
291          <td class="memname">void bdm::ARX::bayes           </td>
292          <td>(</td>
293          <td class="paramtype">const vec &amp;&nbsp;</td>
294          <td class="paramname"> <em>dt</em>          </td>
295          <td>&nbsp;)&nbsp;</td>
296          <td><code> [inline, virtual]</code></td>
297        </tr>
298      </table>
299</div>
300<div class="memdoc">
301
302<p>
303Incremental Bayes rule.
304<p>
305<dl compact><dt><b>Parameters:</b></dt><dd>
306  <table border="0" cellspacing="2" cellpadding="0">
307    <tr><td valign="top"></td><td valign="top"><em>dt</em>&nbsp;</td><td>vector of input data </td></tr>
308  </table>
309</dl>
310
311<p>Reimplemented from <a class="el" href="classbdm_1_1BMEF.html#c287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>.</p>
312
[397]313<p>References <a class="el" href="arx_8h-source.html#l00078">bayes()</a>.</p>
[290]314
[397]315<p>Referenced by <a class="el" href="arx_8h-source.html#l00078">bayes()</a>.</p>
316
[259]317</div>
318</div><p>
[396]319<a class="anchor" name="9637412df898048bafaefee9dc7e9f6c"></a><!-- doxytag: member="bdm::ARX::from_setting" ref="9637412df898048bafaefee9dc7e9f6c" args="(const Setting &amp;set)" -->
[368]320<div class="memitem">
321<div class="memproto">
322      <table class="memname">
323        <tr>
324          <td class="memname">void bdm::ARX::from_setting           </td>
325          <td>(</td>
326          <td class="paramtype">const Setting &amp;&nbsp;</td>
[396]327          <td class="paramname"> <em>set</em>          </td>
[368]328          <td>&nbsp;)&nbsp;</td>
329          <td><code> [virtual]</code></td>
330        </tr>
331      </table>
332</div>
333<div class="memdoc">
334
335<p>
[396]336<a class="el" href="classbdm_1_1UI.html" title="UI is an abstract class and it is intended for internal purposes only.">UI</a> for <a class="el" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> estimator<p>
[368]337The <a class="el" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> is constructed from a structure with fields: <div class="fragment"><pre class="fragment">        estimator = {
338                type = <span class="stringliteral">"ARX"</span>;
339                y = {type=<span class="stringliteral">"rv"</span>, ...}   <span class="comment">// description of output variables</span>
340                rgr = {type=<span class="stringliteral">"rv"</span>, ...} <span class="comment">// description of regressor variables</span>
341                constant = <span class="keyword">true</span>;       <span class="comment">// boolean switch if the constant term is modelled or not</span>
342
343                <span class="comment">//optional fields</span>
344                dV0 = [1e-3, 1e-5, 1e-5, 1e-5];
345                                                           <span class="comment">// default: 1e-3 for y, 1e-5 for rgr</span>
346                nu0 = 6;               <span class="comment">// default: rgrlen + 2</span>
347                <a class="code" href="classbdm_1_1BMEF.html#1331865e10fb1ccef65bb4c47fa3be64" title="forgetting factor">frg</a> = 1.0;             <span class="comment">// forgetting, default frg=1.0</span>
348        };
349</pre></div><p>
350The estimator will assign names of the posterior in the form ["theta_i" and "r_i"]
[396]351<p>Reimplemented from <a class="el" href="classbdm_1_1root.html#0551e3121091c5199bf4413b50522176">bdm::root</a>.</p>
[368]352
[401]353<p>References <a class="el" href="bdmbase_8h-source.html#l00123">bdm::RV::_dsize()</a>, <a class="el" href="exp__family_8h-source.html#l00085">bdm::BMEF::frg</a>, and <a class="el" href="user__info_8h-source.html#l00359">bdm::UI::get()</a>.</p>
[368]354
355</div>
356</div><p>
[259]357<a class="anchor" name="080a7e531e3aa06694112863b15bc6a4"></a><!-- doxytag: member="bdm::ARX::logpred" ref="080a7e531e3aa06694112863b15bc6a4" args="(const vec &amp;dt) const " -->
358<div class="memitem">
359<div class="memproto">
360      <table class="memname">
361        <tr>
362          <td class="memname">double bdm::ARX::logpred           </td>
363          <td>(</td>
364          <td class="paramtype">const vec &amp;&nbsp;</td>
365          <td class="paramname"> <em>dt</em>          </td>
366          <td>&nbsp;)&nbsp;</td>
367          <td> const<code> [virtual]</code></td>
368        </tr>
369      </table>
370</div>
371<div class="memdoc">
372
373<p>
374Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
375<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">bdm::BM</a>.</p>
376
[397]377<p>References <a class="el" href="exp__family_8h-source.html#l00233">bdm::egiw::_nu()</a>, <a class="el" href="exp__family_8h-source.html#l00231">bdm::egiw::_V()</a>, <a class="el" href="arx_8h-source.html#l00049">est</a>, <a class="el" href="bdmbase_8h-source.html#l00739">bdm::BM::evalll</a>, <a class="el" href="exp__family_8h-source.html#l00085">bdm::BMEF::frg</a>, <a class="el" href="exp__family_8h-source.html#l00087">bdm::BMEF::last_lognc</a>, <a class="el" href="exp__family_8cpp-source.html#l00047">bdm::egiw::lognc()</a>, <a class="el" href="arx_8h-source.html#l00053">nu</a>, <a class="el" href="square__mat_8cpp-source.html#l00058">ldmat::opupdt()</a>, <a class="el" href="exp__family_8h-source.html#l00226">bdm::egiw::pow()</a>, and <a class="el" href="arx_8h-source.html#l00051">V</a>.</p>
[259]378
379</div>
380</div><p>
[270]381<a class="anchor" name="74fe8ae2d88bee8639510fd0eaf73513"></a><!-- doxytag: member="bdm::ARX::predictor" ref="74fe8ae2d88bee8639510fd0eaf73513" args="() const " -->
382<div class="memitem">
383<div class="memproto">
384      <table class="memname">
385        <tr>
386          <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>
387          <td>(</td>
388          <td class="paramname">          </td>
389          <td>&nbsp;)&nbsp;</td>
390          <td> const<code> [virtual]</code></td>
391        </tr>
392      </table>
393</div>
394<div class="memdoc">
395
396<p>
397conditional version of the predictor
398<p>
399
400<p>
401&lt;----------- TODO
402<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">bdm::BM</a>.</p>
403
[397]404<p>References <a class="el" href="bdmbase_8h-source.html#l00318">bdm::epdf::dimension()</a>, <a class="el" href="arx_8h-source.html#l00049">est</a>, <a class="el" href="exp__family_8cpp-source.html#l00141">bdm::egiw::mean_mat()</a>, <a class="el" href="square__mat_8h-source.html#l00289">ldmat::rows()</a>, <a class="el" href="exp__family_8h-source.html#l01240">bdm::mlnorm&lt; sq_T &gt;::set_parameters()</a>, and <a class="el" href="arx_8h-source.html#l00051">V</a>.</p>
[270]405
406</div>
407</div><p>
[259]408<a class="anchor" name="16b02ae03316751664c22d59d90c1e34"></a><!-- doxytag: member="bdm::ARX::structure_est" ref="16b02ae03316751664c22d59d90c1e34" args="(egiw Eg0)" -->
409<div class="memitem">
410<div class="memproto">
411      <table class="memname">
412        <tr>
413          <td class="memname">ivec bdm::ARX::structure_est           </td>
414          <td>(</td>
415          <td class="paramtype"><a class="el" href="classbdm_1_1egiw.html">egiw</a>&nbsp;</td>
416          <td class="paramname"> <em>Eg0</em>          </td>
417          <td>&nbsp;)&nbsp;</td>
418          <td></td>
419        </tr>
420      </table>
421</div>
422<div class="memdoc">
423
424<p>
425Brute force structure estimation.
426<p>
427<dl class="return" compact><dt><b>Returns:</b></dt><dd>indeces of accepted regressors. </dd></dl>
428
[397]429<p>References <a class="el" href="bdmbase_8h-source.html#l00318">bdm::epdf::dimension()</a>, <a class="el" href="arx_8h-source.html#l00049">est</a>, and <a class="el" href="exp__family_8cpp-source.html#l00047">bdm::egiw::lognc()</a>.</p>
[259]430
431</div>
432</div><p>
[271]433<hr><h2>Member Data Documentation</h2>
434<a class="anchor" name="363aaa55b2ab3eec602510cdf53e84ef"></a><!-- doxytag: member="bdm::ARX::_yrv" ref="363aaa55b2ab3eec602510cdf53e84ef" args="" -->
435<div class="memitem">
436<div class="memproto">
437      <table class="memname">
438        <tr>
439          <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>
440        </tr>
441      </table>
442</div>
443<div class="memdoc">
444
445<p>
[397]446description of modelled data <img class="formulaInl" alt="$ y_t $" src="form_26.png"> in the likelihood function Do NOT access directly, only via <code>get_yrv()</code>.
[271]447</div>
448</div><p>
[259]449<hr>The documentation for this class was generated from the following files:<ul>
[398]450<li><a class="el" href="arx_8h-source.html">arx.h</a><li>bdm/estim/arx.cpp</ul>
[259]451</div>
[401]452<hr size="1"><address style="text-align: right;"><small>Generated on Wed Jul 1 13:05:57 2009 for mixpp by&nbsp;
[259]453<a href="http://www.doxygen.org/index.html">
[398]454<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address>
[259]455</body>
456</html>
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