1 | /*! |
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2 | \file |
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3 | \brief Test of basic elements of the ARX class |
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4 | |
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5 | See file \ref arx for mathematical background. |
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6 | |
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7 | This class tests functions ARX::bayes (Bayes rule) ARX::structure_est and ARX::predictor_student |
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8 | |
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9 | Untested functions: none. |
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10 | |
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11 | */ |
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12 | |
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13 | #include "estim/arx.h" |
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14 | using namespace bdm; |
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15 | |
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16 | int main() { |
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17 | // Setup model |
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18 | vec th ( "0.8 -0.3 0.4 0.01" ); |
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19 | int ord = th.length(); //auxiliary variable |
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20 | double sqr = 0.1; |
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21 | |
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22 | //Test constructor |
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23 | mat V0 = 0.00001 * eye ( ord + 1 ); |
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24 | V0 ( 0.0 ) = 1; // |
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25 | double nu0 = ord + 5.0; |
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26 | |
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27 | ARX Ar; |
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28 | Ar.set_statistics ( 1, V0, nu0 ); // Estimator |
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29 | const epdf& f_thr = Ar.posterior(); // refrence to posterior of the estimator |
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30 | |
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31 | //Test estimation |
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32 | int ndat = 100; // number of data records |
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33 | vec Yt ( ndat ); // Store generated data |
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34 | Yt.set_subvector ( 0, randn ( ord ) ); //initial values |
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35 | vec rgr ( ord ); // regressor |
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36 | vec Psi ( ord + 1 ); // extended regressor |
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37 | |
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38 | //print moments of the prior distribution |
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39 | cout << "prior mean: " << f_thr.mean() << endl; |
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40 | cout << "prior variance: " << f_thr.variance() << endl; |
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41 | |
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42 | // cycle over time: |
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43 | for ( int t = ord; t < ndat; t++ ) { |
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44 | //Generate regressor |
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45 | for ( int j = 0; j < ( ord ); j++ ) { |
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46 | rgr ( j ) = Yt ( t - j - 1 ); |
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47 | } |
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48 | //model |
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49 | Yt ( t ) = th * rgr + sqr * NorRNG(); |
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50 | |
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51 | Psi = concat ( Yt ( t ), rgr ); // Inefficient! Used for compatibility with Matlab! |
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52 | Ar.bayes ( Psi ); // Bayes rule |
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53 | |
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54 | // Build predictor |
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55 | mlstudent* Pr = Ar.predictor_student ( ); |
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56 | // Test similarity of likelihoods from the Bayes rule and the predictor |
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57 | cout << "BR log-lik: " << Ar._ll(); |
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58 | cout << " , predictor ll: " << Pr->evallogcond ( vec_1 ( Yt ( t ) ), rgr ) << endl; |
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59 | delete Pr; |
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60 | } |
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61 | //print posterior moments |
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62 | cout << "posterior mean: " << f_thr.mean() << endl; |
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63 | cout << "posterior variance: " << f_thr.variance() << endl; |
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64 | |
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65 | // Test brute-froce structure estimation |
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66 | |
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67 | cout << "Structure estimation: " << endl; |
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68 | cout << Ar.structure_est ( egiw ( 1, V0, nu0 ) ) << endl; |
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69 | } |
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