root/library/tests/tutorial/arx_simple.cpp @ 722

#include "estim/arx.h"
using namespace bdm;

// estimation of AR(0) model
int main() {
        //prior
        mat V0 = 0.00001 * eye ( 2 );
        V0 ( 0, 0 ) = 0.1; //
        ARX Ar;
        Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
        Ar.set_constant ( true );
        Ar.validate();
        // forgetting is default: 1.0
        mat Data = concat_vertical ( randn ( 1, 100 ), ones ( 1, 100 ) );
        Ar.bayes_batch ( Data );

        cout << "Expected value of Theta is: " << Ar.posterior().mean() << endl;
}